• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Econometric Methods for Forecasting and Data Science
      • Introduction in Genome-Wide Data Analysis
      • Business Data Science Summer School Program
  • Times

14-092/IV - Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting


  • Authors
    André Lucas, VU University Amsterdam, the Netherlands; Xin Zhang, Sveriges Riksbank, Sweden
  • Publication date
    July 22, 2014
  • Keywords
    dynamic volatilities, time varying higher order moments, integrated generalized autoregressive score models, Exponential Weighted Moving Average (EWMA), Value-at-Risk (VaR)
  • JEL
    C51, C52, C53, G15