Practical implications of higher moments in risk management

DOI10.1007/S10260-011-0166-ZzbMATH Open1337.62290OpenAlexW1973016585MaRDI QIDQ413990FDOQ413990

Francesco Lisi, Matteo Grigoletto

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

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zbMATH Keywords

GARCH modelsskewnesstime-varying kurtosistime-varying skewnessVaR prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Coherent measures of risk
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Title not available (Why is that?)
• Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
• Autoregressive Conditional Density Estimation
• The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
• Bootstrap prediction for returns and volatilities in GARCH models
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• Markov-Switching GARCH Modelling of Value-at-Risk
• Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
• Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
• Testing asymmetry in financial time series

Cited In (7)

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

Uses Software

• CAViaR

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