Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting

Research output: Working paper / Preprint › Working paper › Professional

Original language	English
Place of Publication	Amsterdam
Publisher	Tinbergen Institute/Duisenberg School of Finance
Number of pages	29
Publication status	Published - 2014

Name	TI Discussion Paper
No.	14-092/IV/DSF77

Access to Document

@techreport{85cdb3aafcb84c4c8c713e2579ac6832,

title = "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting",

author = "A. Lucas and X. Zhang",

year = "2014",

language = "English",

series = "TI Discussion Paper",

publisher = "Tinbergen Institute/Duisenberg School of Finance",

number = "14-092/IV/DSF77",

type = "WorkingPaper",

institution = "Tinbergen Institute/Duisenberg School of Finance",

}