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On more robust estimation of skewness and kurtosis : simulation and application to the S&P500 index

Kim, Tae-hwan; White, Halbert - 2003

Persistent link: https://www.econbiz.de/10002118385

On more robust estimation of skewness and kurtosis

Kim, Tae-hwan; White, Halbert - In: Finance research letters 1 (2004) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10003307251

Forecast precision and portfolio performance

Kane, Alex; Kim, Tae-hwan; White, Halbert - In: Journal of financial econometrics : official journal of … 8 (2010) 3, pp. 265-304

Persistent link: https://www.econbiz.de/10003997367

VAR for VaR : measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2015

Persistent link: https://www.econbiz.de/10011288642

Active portfolio management : the power of the Treynor-Black model

Kane, Alex; Kim, Tae-hwan; White, Halbert - In: Progress in financial markets research, (pp. 311-332). 2012

Persistent link: https://www.econbiz.de/10009678540

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...