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 ...

We propose an asymptotically normal and efficient procedure to estimate every finite subgraph for covariate-adjusted Gaussian graphical model. As a consequence, a confidence interval as well as ...

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 ...