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Search: subject:"conditional skewness"
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Conditional skewness
13
ARCH model
12
ARCH-Modell
12
Capital income
12
Kapitaleinkommen
12
Statistical distribution
11
Statistische Verteilung
11
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9
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8
conditional skewness
8
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5
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5
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4
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3
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Lanne, Markku
3
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Engstrom, Eric
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Ermolov, Andrey
2
Saikkonen, Pentti
2
Serna, Gregorio
2
Ahmad, Muhammad Munir
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Ahmad, Muneeb
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Anatolyev, Stanislav
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Atance, David
1
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Bouri, Elie
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Ellina, Polina
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Forsberg, Lars
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He, Xie
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MEDDAHI, Nour
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ECONIS (ZBW)
16
RePEc
12
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1
Time-varying expected returns,
conditional
skewness
and Bitcoin return predictability
Atance, David
;
Serna, Gregorio
- In:
The quarterly review of economics and finance
96
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014631563
Saved in:
2
Option pricing with dynamic
conditional
skewness
Liang, Fang
;
Du, Lingshan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1154-1188
Persistent link: https://www.econbiz.de/10014553957
Saved in:
3
Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants
Bouri, Elie
;
Jalkh, Naji
- In:
International review of financial analysis
90
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014470883
Saved in:
4
A closer look at the regime-switching evidence of bull and bear markets
Kirby, Chris
- In:
Finance research letters
52
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014472216
Saved in:
5
On the predictive ability of conditional market skewness
Serna, Gregorio
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
Saved in:
6
Portfolio optimization under distribution uncertainty with a feature fusion of
conditional
skewness
GARCH model
Khan, Yousaf Ali
;
Ahmad, Muneeb
;
Ahmad, Muhammad Munir
- In:
International journal of financial engineering
10
(
2023
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014304236
Saved in:
7
Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with
conditional
skewness
and kurtosis components
Theodossiou, Panayiotis
;
Ellina, Polina
;
Savva, Christos S.
- In:
Review of quantitative finance and accounting
59
(
2022
)
2
,
pp. 695-716
Persistent link: https://www.econbiz.de/10013459306
Saved in:
8
A simple and robust approach for expected shortfall estimation
Pan, Zhibin
;
Pang, Tao
;
Zhao, Yang
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 77-107
Persistent link: https://www.econbiz.de/10012672323
Saved in:
9
Is volatility spillover enough for investor decisions? : a new viewpoint from higher moments
He, Xie
;
Hamori, Shigeyuki
- In:
Journal of international money and finance
116
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013206923
Saved in:
10
Modelling
conditional
skewness
: Heterogeneous beliefs, short sale restrictions and market declines
Shum, Wai Yan
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012659587
Saved in:
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