Bad environments, good environments: A non-Gaussian asymmetric volatility model
Year of publication: |
2015
|
---|---|
Authors: | Bekaert, Geert ; Engstrom, Eric ; Ermolov, Andrey |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 186.2015, 1, p. 258-275
|
Publisher: |
Elsevier |
Subject: | Non-Gaussianities | GARCH | Asymmetric volatility | Conditional skewness | Risk management |
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