Practical implications of higher moments in risk management

Matteo Grigoletto () and Francesco Lisi ()

Statistical Methods & Applications, 2011, vol. 20, issue 4, 487-506

Keywords: VaR prediction; GARCH models; Skewness; Time-varying skewness; Time-varying kurtosis (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (12)

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DOI: 10.1007/s10260-011-0166-z

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