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Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 9 (2022) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10013367492

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …

Persistent link: https://www.econbiz.de/10012621564

Methods for measuring expectations and uncertainty in Markov-switching models

Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99

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The distribution of cross sectional momentum returns

Kwon, Oh Kang; Satchell, Stephen - In: Journal of economic dynamics & control 94 (2018), pp. 225-241

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The log-cosine-power unit distribution : a new unit distribution for proportion data analysis

Nasiru, Suleman; Chesneau, Christophe; Ocloo, Selasi Kwaku - In: Decision analytics journal 10 (2024), pp. 1-10

Continuous formulations of new distributions defined on the unit interval have gained attention because of their relevance in modeling proportion data. We innovate in this research direction by combining logarithmic, cosine, and power functions to create a log-cosine-power cumulative...

Persistent link: https://www.econbiz.de/10014541832

Forecasting gold returns volatility over 1258-2023 : the role of moments

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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

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Power of moment-based normality tests : empirical analysis on Indian stock market index

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Moments, shocks and spillovers in Markov-switching VAR models

Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014365495