Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall

Density Forecasting with Time-Varying Hi

Density Forecasting with Time-Varying Higher Moments: A Model Confidence Set Approach

✍ Anders Wilhelmsson 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 468 KB

## ABSTRACT Density forecasts contain a complete description of the uncertainty associated with a point forecast and are therefore important measures of financial risk. This paper aims to examine whether the new more complicated models for financial returns that allow for time variation in higher m