Practical implications of higher moments in risk management (Q413990)
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scientific article; zbMATH DE number 6031674
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| default for all languages | No label defined |
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| English | Practical implications of higher moments in risk management |
scientific article; zbMATH DE number 6031674 |
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Practical implications of higher moments in risk management (English)
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8 May 2012
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VaR prediction
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GARCH models
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skewness
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time-varying skewness
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time-varying kurtosis
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0.8457805
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0.8424446
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0.8408823
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0.81232375
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0.8102432
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