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