搜索结果: 1-1 共查到“经济学 exponential weighted moving average”相关记录1条 . 查询时间(0.062 秒)
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...