The Use of Mutual Information to Improve Value-at-Risk Forecasts for Exchange Rates
In this paper, we show a simple but novel approach in an attempt to improve value-at-risk forecasts. We use mutually dependent covariate returns to create exogenous break variables and jointly use the variables to augment GARCH models to account for time-variations and breaks in the unconditional vo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2020-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/9208673/ |