Practical implications of higher moments in risk management

DOI10.1007/S10260-011-0166-ZMaRDI QIDQ413990zbMATH OpenOpenAlexFDO

Authors Matteo Grigoletto, Francesco Lisi

Publication date 8 May 2012

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-011-0166-z

zbMATH Keywords

GARCH modelsskewnesstime-varying kurtosistime-varying skewnessVaR prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 794688 (Why is no real title available?)
• Autoregressive Conditional Density Estimation
• Bootstrap prediction for returns and volatilities in GARCH models
• Coherent measures of risk
• Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Estimation of time varying skewness and kurtosis with an application to value at risk
• Index-exciting CAViaR: a new empirical time-varying risk model
• Markov-Switching GARCH Modelling of Value-at-Risk
• Testing asymmetry in financial time series
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
• Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model

Cited in

(10)

• Higher-order comoments and asset returns: evidence from emerging equity markets
• Incorporating higher moments into value-at-risk forecasting
• Out-of-sample stock return prediction using higher-order moments
• Central moments, stochastic dominance, moment rule, and diversification with an application
• Moment Problem and Its Applications to Risk Assessment
• Conditional higher order moments in metal asset returns
• Estimation of time varying skewness and kurtosis with an application to value at risk
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• Multivariate conditional higher moments volatility modeling
• Robust bootstrap forecast densities for GARCH returns and volatilities

Describes a project that uses

Uses Software

• CAViaR

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