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Generalized skew normal model
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Estimation
skewness
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ECONIS (ZBW)
79
RePEc
3
EconStor
1
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1
Estimation of dynamic discrete models from time aggregated data
Hong, Han
;
Li, Weiming
;
Wang, Boyu
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 435-446
Persistent link: https://www.econbiz.de/10011503225
Saved in:
2
An empirical study of the interrelationships, integration and the efficiency of stock and foreign exchange markets in Fiji
Paul, Muthucattu Thomas
;
Uriam, Timiti
- In:
Journal of quantitative economics : official journal of …
12
(
2014
)
1
,
pp. 154-167
Persistent link: https://www.econbiz.de/10011504410
Saved in:
3
Term structure modeling and estimation in a state space framework
Lemke, Wolfgang
-
2005
Persistent link: https://www.econbiz.de/10003000929
Saved in:
4
Estimation of a normal distribution of returns on stock indices based on the minimum chi-square criterion
Czyżycki, Rafał
- In:
Modern processes of economic development : economics and law
,
(pp. 9-18)
.
2017
Persistent link: https://www.econbiz.de/10011861483
Saved in:
5
The truncated multivariate normal distribution in finance and econometrics
Wilhelm, Stefan
-
2014
Persistent link: https://www.econbiz.de/10010438565
Saved in:
6
A generalized normal distribution
Nadarajah, Saralees
- In:
Journal of Applied Statistics
32
(
2005
)
7
,
pp. 685-694
derive expressions for the nth moment, the nth central moment, variance,
skewness
, kurtosis, mean deviation about the mean …
Persistent link: https://www.econbiz.de/10005639799
Saved in:
7
The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
Villani, Mattias
;
Larsson, Rolf
-
2004
which allows for
skewness
in the form of contraction/dilation along a subset of the prinicpal axis. The paper derives some … properties for this distribution, including its moment generating function, multivariate
skewness
and kurtosis. Maximum …
Persistent link: https://www.econbiz.de/10010321327
Saved in:
8
"KLICing" there and back again : portfolio selection using the empirical likelihood divergence and Hellinger distance
Haley, M. Ryan
;
McGee, M. Kevin
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 341-352
Persistent link: https://www.econbiz.de/10009301111
Saved in:
9
Estimating nonlinear DSGE models by the simulated method of moments : with an application to business cycles
Ruge-Murcia, Francisco
- In:
Journal of economic dynamics & control
36
(
2012
)
6
,
pp. 914-938
Persistent link: https://www.econbiz.de/10009573436
Saved in:
10
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
and almost symmetry. The conditional variance and
skewness
measures are …
Persistent link: https://www.econbiz.de/10011398115
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