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Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
Ioannidis, Filippos; Kosmidou, Kyriaki; Savva, Christos; … - In: Energy economics 95 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012816560
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Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures
Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265
Persistent link: https://www.econbiz.de/10012216958
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High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
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A conditional heteroscedastic VaR approach with alternative distributions
Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98
Persistent link: https://www.econbiz.de/10012617079
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Modelling returns in US housing prices : you're the one for me, fat tails
Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from...
Persistent link: https://www.econbiz.de/10012794370
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Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation
Date, Paresh; Bustreo, Roberto - In: IMA journal of management mathematics 27 (2016) 2, pp. 157-180
Persistent link: https://www.econbiz.de/10011567011
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Conditional extremes in asymmetric financial markets
Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
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Static and dynamic models for multivariate distribution forecasts : proper scoring rule tests of factor-quantile versus multivariate GARCH models
Alexander, Carol; Han, Yang; Meng, Xiaochun - In: International journal of forecasting 39 (2023) 3, pp. 1078-1096
Persistent link: https://www.econbiz.de/10014465245
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Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570