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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
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
domestic volatility after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239366
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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Quantile forecasts of financial returns using realized GARCH models
Watanabe, Toshiaki - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10009564870
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The impact of shocks on higher moments
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
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Right on target, or is it? : the role of distributional shape in variance targeting
Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632
volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …
Persistent link: https://www.econbiz.de/10011410634
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Evaluating density forecasts from models of stock market returns
Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10002841826
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … volatility model ; Log ACD model ; norming constants …
Persistent link: https://www.econbiz.de/10002719797
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Conditional jump dynamics in stock market returns
Chan, Wing Hong; Maheu, John M. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 377-389
Persistent link: https://www.econbiz.de/10001695284