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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
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A multivariate GARCH-jump mixture model
Li, Chenxing; Maheu, John M. - In: Journal of forecasting 43 (2024) 1, pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
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Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution
Sigaukea, Caston; Makhwiting, Rhoda M.; Lesaoana, Maseka - In: African review of economics & finance : AREF : (a … 6 (2014) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10010422319
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Predicting the distribution of stock returns : model formulation, statistical evaluation, VaR analysis and economic significance
Massacci, Daniele - In: Journal of forecasting 34 (2015) 3, pp. 191-208
Persistent link: https://www.econbiz.de/10011305266
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Risk-management criteria in the Latin-American stock markets : an assessment with a TGARCH model with a skewed normal distribution and autoregressive conditional asymmetry
Lorenzo-Valdés, Arturo; Ruíz-Porras, Antonio - In: International journal of computational economics and … 5 (2015) 4, pp. 430-450
Persistent link: https://www.econbiz.de/10011440889
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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
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Do financial variables help predict the conditional distribution of the market portfolio?
Zamenjani, Azam Shamsi - In: Journal of empirical finance 62 (2021), pp. 327-345
Persistent link: https://www.econbiz.de/10012693441
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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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Optimization study of momentum investment strategies under asymmetric power-law distribution of return rate
Wu, Xu; Wang, Kun; Zhang, Linlin; Peng, Chong - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 687-704
Persistent link: https://www.econbiz.de/10014506859
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Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model
Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014304236