Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
A Gabrielsen, A Kirchner, Z Liu… - Annals of Financial …, 2015 - World Scientific
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 (EWMA) …
of financial return series by proposing an exponential weighted moving average (EWMA) …