On improved volatility modelling by fitting skewness in ARCH models

DOI10.1080/02664763.2019.1671323MaRDI QIDQ5037037zbMATH OpenOpenAlexWikidataFDO

Authors Panagiotis Mantalos, A. Karagrigoriou, Luboš Střelec, Pavlina Jordanova, Philipp Hermann, Juraj Hudák, M. Stehlík, Jozef Kiselak

Publication date 25 February 2022

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2019.1671323

zbMATH Keywords

kurtosisskewnessARCH/GARCH modelNoVaSrobust test for normality

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

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• MULTIVARIATE STABLE FUTURES PRICES
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Cited in

(2)

• Penalized power properties of the normality tests in the presence of outliers
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW

Describes a project that uses

Uses Software

• R

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