Bad environments, good environments: A non-Gaussian asymmetric volatility model
Year of publication: |
2015
|
---|---|
Authors: | Bekaert, Geert ; Engstrom, Eric ; Ermolov, Andrey |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 186.2015, 1, p. 258-275
|
Publisher: |
Elsevier |
Subject: | Non-Gaussianities | GARCH | Asymmetric volatility | Conditional skewness | Risk management |
-
Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert, (2015)
-
Can bitcoin replace gold in an investment portfolio?
Henriques, Irene, (2018)
-
It Pays to Violate: How Effective are the Basel Accord Penalties?
McAleer, Michael, (2009)
- More ...
-
Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert, (2015)
-
Macro risks and the term structure of interest rates
Bekaert, Geert, (2016)
-
The variance risk premium in equilibrium models
Bekaert, Geert, (2020)
- More ...