Pages that link to "Item:Q3566440"
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The following pages link to Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440):
Displaying 11 items.
- Multivariate normal \(\alpha\)-stable exponential families (Q327378) (← links)
- Practical implications of higher moments in risk management (Q413990) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach (Q2241128) (← links)
- Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk (Q3574763) (← links)
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model (Q4549742) (← links)
- A Bayesian encompassing test using combined value-at-risk estimates (Q4554430) (← links)
- DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
- Independent Factor Autoregressive Conditional Density Model (Q5863555) (← links)
- A value-at-risk analysis of carry trades using skew-GARCH models (Q5881703) (← links)
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
