Skewness in energy returns : estimation, testing and implications for tail risk
Year of publication: |
2023
|
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Authors: | Carnero, M. Angeles ; León, Angel ; Ñíguez, Trino-Manuel |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 90.2023, p. 178-189
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Subject: | Bootstrap | Gram-Charlier | TGARCH | Third-order Cornish-Fisher | Unconditional skewness | Statistische Verteilung | Statistical distribution | Bootstrap-Verfahren | Bootstrap approach | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
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