Similar Search Results

Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions

Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10009521860

Normal log-normal mixture, leptokurtosis and skewness

Yang, Minxian - In: Applied economics letters 15 (2008) 7/9, pp. 737-742

Persistent link: https://www.econbiz.de/10003741693

The risk return relationship : evidence from index returns and realised variances

Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012312640

Endogenous crisis dating and contagion using smooth transition structural GARCH

Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - In: Journal of banking & finance 58 (2015), pp. 71-79

Persistent link: https://www.econbiz.de/10011543895

Endogenous crisis dating and contagion using smooth transition structural GARCH

Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - 2012

Persistent link: https://www.econbiz.de/10009624405

Endogenous crisis dating and contagion using smooth transition structural GARCH

Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - 2012

Persistent link: https://www.econbiz.de/10009626036

On the risk return relationship

Wang, Jian-xin; Yang, Minxian - 2012

Persistent link: https://www.econbiz.de/10009775894

On the risk return relationship

Wang, Jian-xin; Yang, Minxian - In: Journal of empirical finance 21 (2013), pp. 132-141

Persistent link: https://www.econbiz.de/10009745277

On identifying structural VAR models via ARCH effects

Milunovich, George; Yang, Minxian - In: Journal of time series econometrics 5 (2013) 2, pp. 117-131

Persistent link: https://www.econbiz.de/10010225458

Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions

Yang, Minxian - 2010

The mixture structure of the generalized hyperbolic distribution of Barndorff-Nielsen (1997) is explored to quantify the contemporaneous correlation between return and volatility and to identify the effects of volatility feedback and risk premium within GARCH models. The statistical analysis of...

Persistent link: https://www.econbiz.de/10014201532