Incorporating higher moments into value-at-risk forecasting (Q3065537)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Incorporating higher moments into value-at-risk forecasting |
scientific article |
Statements
Incorporating higher moments into value-at-risk forecasting (English)
0 references
6 January 2011
0 references
value-at-risk (VaR) forecasting
0 references
time-varying variance
0 references
skewness
0 references
kurtosis
0 references
gram
0 references
charlier series expansion
0 references
0 references
