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Forecasting VaR using realized EGARCH model with skewness and kurtosis · Study

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ArticleForecasting VaR using realized EGARCH model with skewness and kurtosis

Xinyu Wu2019

Article2019

Forecasting VaR using realized EGARCH model with skewness and kurtosis

Xinyu Wu · Michelle Xia · Huanming Zhang

36 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 36 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1998Evaluating Interval Forecasts 1995Techniques for Verifying the Accuracy of Risk Measurement Models 2001The distribution of realized stock return volatility 1999Autoregressive Conditional Skewness 2011Realized GARCH: a joint model for returns and realized measures of volatility 1999Skewness in financial returns

Cited by

2021Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic

Details

Year2019

Typearticle

Published2019-01-16

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.frl.2019.01.002

openalex_workW2910084149

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