Pages that link to "Item:Q951384"

The following pages link to Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384):

Displaying 40 items.

• Sharper asset ranking from total drawdown durations (Q103808) (← links)
• Joint and marginal specification tests for conditional mean and variance models (Q291103) (← links)
• Granger causality in risk and detection of extreme risk spillover between financial markets (Q302200) (← links)
• Testing conditional asymmetry: a residual-based approach (Q310968) (← links)
• An efficient DC programming approach for portfolio decision with higher moments (Q409263) (← links)
• Practical implications of higher moments in risk management (Q413990) (← links)
• On generalised asymmetric stochastic volatility models (Q429633) (← links)
• Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (Q478213) (← links)
• Bayesian estimation of a skew-Student-\(t\) stochastic volatility model (Q496964) (← links)
• Fourth order pseudo maximum likelihood methods (Q737907) (← links)
• Higher-order comoments and asset returns: evidence from emerging equity markets (Q829162) (← links)
• Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
• User's guide (Q951385) (← links)
• Portfolio selection in multidimensional general and partial moment space (Q964574) (← links)
• Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market (Q1010475) (← links)
• Box-Cox symmetric distributions and applications to nutritional data (Q1622111) (← links)
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677) (← links)
• Unfolded GARCH models (Q1657508) (← links)
• Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
• Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm (Q1695045) (← links)
• Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
• Estimation of SEM with GARCH errors (Q1927102) (← links)
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations (Q1927104) (← links)
• Dynamic semiparametric models for expected shortfall (and value-at-risk) (Q2000869) (← links)
• Central moments, stochastic dominance, moment rule, and diversification with an application (Q2112856) (← links)
• The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (Q2246755) (← links)
• Consistent non-Gaussian pseudo maximum likelihood estimators (Q2280575) (← links)
• Semiparametric stochastic volatility modelling using penalized splines (Q2354745) (← links)
• Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (Q2398848) (← links)
• Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
• A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119) (← links)
• New testing approaches for mean-variance predictability (Q2658802) (← links)
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE (Q2691780) (← links)
• Incorporating higher moments into value-at-risk forecasting (Q3065537) (← links)
• The Role of the Normal Distribution in Financial Markets (Q3178565) (← links)
• An Extensive Comparison of Some Well‐Established Value at Risk Methods (Q6088259) (← links)
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
• Estimación bayesiana de un Modelo Garch-M Bivariado (Q6203167) (← links)