Modelling multivariate skewness in financial returns : a SGARCH approach
Giovanni De Luca and Nicola Loperfido
| Year of publication: |
October-December 2015
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| Authors: | De Luca, Giovanni ; Loperfido, Nicola |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 13/15, p. 1113-1131
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| Subject: | constant conditional correlations | feedback effect | news | skew-normal distribution | symmetry | Theorie | Theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Korrelation | Correlation | Aktienindex | Stock index | Volatilität | Volatility | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2011.640342 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419767