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Higher moments and beta asymmetry : evidence from Australia

Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807

Persistent link: https://www.econbiz.de/10011348087

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Testing for linear and non-linear causality in spot and future prices of national multi-commodity indices

Shah, Paresh - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 3, pp. 174-185

Persistent link: https://www.econbiz.de/10011543236

Stock liquidity and return distribution : evidence from the London Stock Exchange

Wang, Andong; Hudson, Robert; Rhodes, Mark J.; Zhang, Sijia - In: Finance research letters 39 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012804976

Higher moments, extreme returns, and cross-section of cryptocurrency returns

Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012804999

A-KA model : an optimization of the stock’s ortofolio

Regina, Filippo; Bisceglia, Mauro Gianfranco - In: Zagreb international review of economics & business 23 (2020) 2, pp. 21-40

Persistent link: https://www.econbiz.de/10012601221

Do idiosyncratic skewness and kurtosis really matter?

Ayadi, Mohamed; Cao, Xu; Lazrak, Skander; Wang, Yan - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-22

Persistent link: https://www.econbiz.de/10012203105

Lead-lag relationship between returns and implied moments : evidence from KOSPI 200 intraday options data

Kim, Sol; Lee, Geul - In: Review of Pacific Basin financial markets and policies 20 (2017) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10011752436

The role of the conditional skewness and kurtosis in VIX index valuation

Lalancette, Simon; Simonato, Jean-Guy - In: European financial management : the journal of the … 23 (2017) 2, pp. 325-354

Persistent link: https://www.econbiz.de/10011713546