Incorporating Higher Moments into Value at Risk Forecasting

By A. Polanski, Evarist Stoja. 2010

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/20bab6a0aec3a98babd7b0995cec088b5b67e496

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Pilar Abad
2. Carmen López
3. Sonia Benito

In Finance

1. Pilar Abad
2. Carmen López
3. Sonia Benito

Citations in the corpus

• A comprehensive review of Value at Risk methodologies (2014, methodology): “Along this same line, Polanski and Stoja (2010) proposed a simple approach to forecast a portfolio VaR.”