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Econometric analysis of financial and economic time series ; part a
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Modelling multivariate skewness in financial returns : a SGARCH approach
De Luca, Giovanni
;
Loperfido, Nicola
- In:
The European journal of finance
21
(
2015
)
13/15
,
pp. 1113-1131
Persistent link: https://www.econbiz.de/10011419767
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2
A multivariate skew-garch model
Luca, Giovanni de
;
Genton, Marc G.
;
Loperfido, Nicola
-
2006
Persistent link: https://www.econbiz.de/10003331366
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