Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
Year of publication: |
2019
|
---|---|
Authors: | Vacca, Gianmarco ; Zoia, Maria Grazia |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 183.2019, p. 1-5
|
Subject: | GARCH model | Gram-Charlier-like expansions | Kurtosis | Orthogonal polynomials | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Innovation | Statistische Verteilung | Statistical distribution |
-
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco, (2022)
-
Polynomial adjusted student-t densities for modeling asset returns
León Valle, Ángel Manuel, (2022)
-
Making Cornish-Fisher fit for risk measurement
Lamb, John D., (2019)
- More ...
-
Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Zoia, Maria Grazia, (2020)
-
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero, (2021)
-
Bootstrap cointegration tests in ARDL models
Bertelli, Stefano, (2022)
- More ...