Modelling conditional heteroskedasticity and skewness using the skew-normal distribution

DOI10.1007/BF03263538zbMath1301.62129OpenAlexW2068562252MaRDI QIDQ478213

Stephen Ellwood Satchell, Thomas Richard Allen Corns

Publication date: 3 December 2014

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03263538

zbMATH Keywords

conditional heteroskedasticityGARCHskewnessskew-symmetricskew-normal

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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