Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model

DOI10.1111/j.1368-423X.2008.00277.xzbMath1189.91229OpenAlexW2161804347MaRDI QIDQ3566440

Anders Wilhelmsson

Publication date: 8 June 2010

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00277.x

zbMATH Keywords

GARCHnormal inverse Gaussian distributionvalue at risktime varying kurtosistime varying skewness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items

Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Multivariate normal \(\alpha\)-stable exponential families ⋮ A Bayesian encompassing test using combined value-at-risk estimates ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Practical implications of higher moments in risk management ⋮ Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects ⋮ Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk ⋮ Independent Factor Autoregressive Conditional Density Model

Uses Software

• CAViaR

Cites Work

• Unnamed Item
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