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Forecasting VaR using analytic higher moments for GARCH processes

Published:2013-12 Issue: Volume:30 Page:36-45
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Alexander Carol,Lazar Emese,Stanescu Silvia

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

1. Market risk analysis, volume IV: Value at Risk models;Alexander,2008

2. Analytic moments of GARCH processes;Alexander,2011

3. Developing a stress testing framework based on market risk models;Alexander;Journal of Banking and Finance,2008

4. Benefits and risks of alternative investment strategies;Amenc;Journal of Asset Management,2003

5. Econometric modelling of Value-at-Risk;Angelidis,2009

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