Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk (Q3574763): Difference between revisions

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+A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
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+On the power of the KPSS test of stationarity against fractionally-integrated alternatives
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+Modeling long memory in stock market volatility
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+Long-Term Memory in Stock Market Prices
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+Entropy densities with an application to autoregressive conditional skewness and kurtosis.
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+Semiparametric analysis of long-memory time series
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+Temporal aggregation of volatility models
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