Incorporating higher moments into value-at-risk forecasting
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Publication:3065537
DOI10.1002/for.1155zbMath1204.91103MaRDI QIDQ3065537
Evarist Stoja, Arnold Polanski
Publication date: 6 January 2011
Published in: Journal of Forecasting (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/for.1155
kurtosis; skewness; time-varying variance; charlier series expansion; gram; value-at-risk (VaR) forecasting
91B82: Statistical methods; economic indices and measures
Related Items
Asymptotic theory for QMLE for the real‐time GARCH(1,1) model, Elementary expressions for moments of truncated negative binomial random variables, An Extensive Comparison of Some Well‐Established Value at Risk Methods, A detailed comparison of value at risk estimates, Efficient expressions for moments of dependent random sums using copulas, Gram-Charlier densities: maximum likelihood versus the method of moments, Dynamic density forecasts for multivariate asset returns
Uses Software
Cites Work
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- A conditional extreme value volatility estimator based on high-frequency returns
- Prediction in dynamic models with time-dependent conditional variances
- Generalized autoregressive conditional heteroscedasticity
- Financial Data and the Skewed Generalized T Distribution
- Gram-Charlier densities.
