Modeling time-varying higher-order conditional moments : a survey
Year of publication: |
2023
|
---|---|
Authors: | Soltyk, Sylvia J. ; Chan, Felix |
Published in: |
Journal of economic surveys. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-6419, ZDB-ID 2006451-2. - Vol. 37.2023, 1, p. 33-57
|
Subject: | autoregressive conditional density | autoregressive conditional moment | conditional higher moments | maximum entropy density | time-varying higher-order moments | time-varying kurtosis | time-varying moments | time-varying skewness | ARCH-Modell | ARCH model | Theorie | Theory | Statistische Verteilung | Statistical distribution | Momentenmethode | Method of moments | Entropie | Entropy | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Volatilität | Volatility |
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