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 ...

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 ...

The normal distribution is the probability distribution that plots all of its values along a symmetrical bell curve, with the highest probabilities centered around the mean value and tapering out ...