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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Comportamiento reciente del mercado accionario chileno : una aplicación de tests de volatilidad y eficiencia
Basch H., Miguel; Budnevich L., Carlos - 1993
Persistent link: https://www.econbiz.de/10000884104
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The application of wave form dictionaries to stock market index data
Ramsey, James B.; Zhang, Zhifeng - 1994
Persistent link: https://www.econbiz.de/10000887595
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The upstairs market for large-block transactions : analysis and measurement of price effects
Keim, Donald B.; Madhavan, Ananth Narayan - 1994 - Rev
Persistent link: https://www.econbiz.de/10000887996
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Fourth-moments structures in financial time series
Kunst, Robert M. - 1993
Persistent link: https://www.econbiz.de/10000888010
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Dinámica no lineal en la bolsa de valores
Mayer-Foulkes, David; Feliz, Raúl Aníbal - 1992 - 1. ed
Persistent link: https://www.econbiz.de/10000889335
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Macroeconomic volatility and stock market volatility : empirical evidence on Finnish data
Liljeblom, Eva; Stenius, Marianne - 1993
Persistent link: https://www.econbiz.de/10000894684
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Financial markets and the theory of chaos
Gilmore, Claire Gilbert - 1992
Persistent link: https://www.econbiz.de/10000896128