Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution
Year of publication: |
2015
|
---|---|
Authors: | Belhachemi, Rachid ; Rostan, Pierre ; Racicot, François-Éric |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 49/51, p. 5461-5475
|
Subject: | conditional volatility | conditional skewness | conditional kurtosis | continuous hidden threshold | leverage effect | regime dependence | Theorie | Theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
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