Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns

Research output: Contribution to journal › Article (Academic Journal)

Original language	Undefined/Unknown
Pages (from-to)	409-419
Number of pages	11
Journal	International Journal of Forecasting
Volume	18
Issue number	3
Publication status	Published - 2002

Cite this

@article{29355fe221674c55bf0d4334a7d946a9,

title = "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns",

author = "Cherif Guermat and Harris, {Richard DF}",

year = "2002",

language = "Undefined/Unknown",

volume = "18",

pages = "409--419",

journal = "International Journal of Forecasting",

issn = "0169-2070",

publisher = "Elsevier",

number = "3",

}