Modelling good and bad volatility

DOI10.2202/1558-3708.1595MaRDI QIDQ3574737zbMATH OpenOpenAlexWikidataFDO

Authors Matteo M. Pelagatti

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1018.6830

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(11)

• Modeling the changing asymmetry of conditional variances
• Conditional correlation in asset return and GARCH intensity model
• EGARCH models with fat tails, skewness and leverage
• Time-varying risk attitude and conditional skewness
• Bad environments, good environments: a non-Gaussian asymmetric volatility model
• A multivariate skew-GARCH model
• Modelling conditional heteroskedasticity and skewness using the skew-normal distribution
• Statistical modelling of asymmetric risk in asset returns
• Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
• Contemporaneous asymmetry in GARCH processes
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

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