Bad environments, good environments: a non-Gaussian asymmetric volatility model

DOI10.1016/j.jeconom.2014.06.021zbMath1331.62452OpenAlexW3121730365MaRDI QIDQ2346031

Geert Bekaert, Andrey Ermolov, Eric Engstrom

Publication date: 29 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.06.021

zbMATH Keywords

GARCHrisk managementasymmetric volatilitynon-Gaussianitiesconditional skewness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Stochastic models in economics (91B70)

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Uses Software

• CAViaR

Cites Work

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