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1
How does trading volume affect financial return distributions?
Do, Hung Xuan
;
Brooks, Robert
;
Sirimon Treepongkaruna
; …
- In:
International review of financial analysis
35
(
2014
),
pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
Saved in:
2
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
Higher moment connectedness of cryptocurrencies : a time-frequency approach
Nyakurukwa, Kingstone
;
Seetharam, Yudhvir
- In:
Journal of economics and finance : JEF
47
(
2023
)
3
,
pp. 793-814
Persistent link: https://www.econbiz.de/10014380684
Saved in:
5
Modeling time-varying higher-order conditional moments : a survey
Soltyk, Sylvia J.
;
Chan, Felix
- In:
Journal of economic surveys
37
(
2023
)
1
,
pp. 33-57
Persistent link: https://www.econbiz.de/10014287767
Saved in:
6
The higher moments of future earnings
Chang, Woo-Jin
;
Monahan, Steven J.
;
Ouazad, Amine
; …
- In:
The accounting review : a publication of the American …
96
(
2021
)
1
,
pp. 91-116
Persistent link: https://www.econbiz.de/10012439364
Saved in:
7
Empirical regularities of inflation
volatility
: evidence from advanced and developing countries
Banerjee, Shesadri
- In:
South Asian journal of macroeconomics and public finance
6
(
2017
)
1
,
pp. 133-156
Persistent link: https://www.econbiz.de/10012153819
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8
What Difference Fat Tails Make : A Bayesian MCMC
Estimation
of Empirical Asset Pricing Models
Glabadanidis, Paskalis
-
2017
This chapter presents an empirical application of Bayesian MCMC
estimation
to the three main asset pricing models in …
Persistent link: https://www.econbiz.de/10012949435
Saved in:
9
Risk
estimation
with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
10
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
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