most citedForecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

4 citations · 4 across the 1 of their papers we have counts for

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1 paper

q-fin.RM2012★ 4 cited

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

A. Gabrielsen, P. Zagaglia, A. Kirchner +1

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model th…