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14-092/IV - Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting


  • Authors
    André Lucas, VU University Amsterdam, the Netherlands; Xin Zhang, Sveriges Riksbank, Sweden
  • Publication date
    July 22, 2014
  • Keywords
    dynamic volatilities, time varying higher order moments, integrated generalized autoregressive score models, Exponential Weighted Moving Average (EWMA), Value-at-Risk (VaR)
  • JEL
    C51, C52, C53, G15