The role of multivariate skew-student density in the estimation of stock market crashes
Year of publication: |
October-December 2015
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Authors: | Wu, Lei ; Meng, Qingbin ; Velazquez, Julio C. |
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. 1144-1160
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Subject: | multivariate skew-Student density | TVC-GARCH model | stock market crashes | crash probability forecast | Theorie | Theory | Schätzung | Estimation | Finanzkrise | Financial crisis | Börsenkurs | Share price | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Multivariate Analyse | Multivariate analysis |
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