Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

International Journal of Forecasting

Volumn 18, Issue 3, 2002, Pages 409-419

  Guermat, Cherif ^a   Harris, Richard D F ^a  

^a UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

Author keywords

Exponentially weighted maximum likelihood; Time varying variance and kurtosis; Value at risk

Indexed keywords

EID: 0036079377     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(01)00122-4     Document Type: Article

References (13)

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7. A retrievable recipe for inverse t
8. Autoregressive conditional density estimation
9. Evaluation of value-at-risk models using historical data
10. Techniques for verifying the accuracy of risk measurement models
11. Conditional density and VaR prediction of Asian currency exchange rates