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

A. Lucas, X. Zhang

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute/Duisenberg School of Finance
Number of pages29
Publication statusPublished - 2014

Publication series

NameTI Discussion Paper
No.14-092/IV/DSF77

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