Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall

Quarterly Review of Economics and Finance

Volumn 50, Issue 3, 2010, Pages 264-272

  Ergün, A Tolga ^a   Jun, Jongbyung ^a  

^a SUFFOLK UNIVERSITY   (United States)

Author keywords

Density estimation; Higher order conditional moments; Intraday Value at Risk and Expected Shortfall

Indexed keywords

EID: 77953960436     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2010.03.003     Document Type: Article

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