Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Set OpenAlex properties.
 
(One intermediate revision by one other user not shown)
Property / cites work
 
Property / cites work: Q4856607 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4275389 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Sample Properties of Generalized Method of Moments Estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Density Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to copulas. Properties and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized method of moments specification testing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Entropy densities with an application to autoregressive conditional skewness and kurtosis. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: What is the Laplace Transform? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Threshold heteroskedastic models / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/s0165-1889(02)00079-9 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1985030584 / rank
 
Normal rank

Latest revision as of 09:33, 30 July 2024

scientific article
Language Label Description Also known as
English
Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
scientific article

    Statements

    Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (English)
    0 references
    0 references
    0 references
    24 October 2008
    0 references
    volatility
    0 references
    skewness
    0 references
    kurtosis
    0 references
    generalized Student-\(t\) distribution
    0 references
    GARCH
    0 references
    stock indices
    0 references
    exchange rates
    0 references
    SNOPT
    0 references

    Identifiers