Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model

By Anders Wilhelmsson. 2009

58 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f24909d5e6a1feb7197a3ca9ebb5f122358ee806

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, unknown): “…also important as it is routinely implemented as an empirical check for alternative models to forecast conditional means and variances; see, for example, Asai and McAleer (2008), Martens et al. (2009), Wilhelmsson (2009), Grigoletto and Lisi (2009) and Brownlees and Gallo (2010) among many others.”