Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
نویسندگان
چکیده
منابع مشابه
estimation of value-at-risk with time varying skewness and kurtosis
this paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (var) for both long and short positions using the hyaparch model and daily data for tehran stock exchange price index (tepix). our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom is able to capture the asymmetry app...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2079526