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An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
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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
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Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles; León, Angel; Ñíguez, Trino-Manuel - In: The quarterly review of economics and finance : journal … 90 (2023), pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
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Endogenous fluctuations in an endogenous growth model : an analysis of inflation targeting as a policy
Gupta, Rangan; Stander, Lardo - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 1-8
Persistent link: https://www.econbiz.de/10012034988
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Power laws in real estate prices? : some evidence
Blackwell, Calvin - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 90-98
Persistent link: https://www.econbiz.de/10012034999
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Exploring the economic rationale of extremes in GARCH generated betas : the case of US banks
McKenzie, Michael D. (contributor) - In: The quarterly review of economics and finance : journal … 40 (2000) 1, pp. 85-106
Persistent link: https://www.econbiz.de/10001494511
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Autoregressive conditional volatility, skewness and kurtosis
León Valle, Ángel Manuel; Rubio, Gonzalo; Serna, Gregorio - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 599-618
Persistent link: https://www.econbiz.de/10003099285
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Robust reward-risk performance measures with weakly second-order stochastic dominance constraints
Kouaissah, Noureddine - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 53-62
Persistent link: https://www.econbiz.de/10014427899
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A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score
Song, Shijia; Li, Handong - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 203-214
Persistent link: https://www.econbiz.de/10014428040
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Covid-19 impact on Cryptocurrencies market using Multivariate Time Series Models
Thanakorn Nitithumbundit; Chan, Jennifer S. K. - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 365-375
Persistent link: https://www.econbiz.de/10014249157