As with all probability distributions, the Normal Distribution describes how the values of your data are distributed. Subsequently, it is one of the most important probability distributions in ...
Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted ...
It may be misleading to estimate value-at-risk (VAR) or other risk measures assuming normally distributed innovations in a model for a heteroscedastic financial return series. Using the t-distribution ...
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