Analytic moments of TGARCH(1,1) models with polynomially adjusted densities
M. Angeles Carnero, Angel León, and Trino-Manuel Ñíguez
| Year of publication: |
2025
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|---|---|
| Authors: | Carnero, M. Angeles ; León Valle, Ángel Manuel ; Ñíguez, Trino-Manuel |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 2, Art.-No. nbae019, p. 1-52
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| Subject: | asymmetry | cross-correlation | equity screening | leverage effect | unconditional skewness | unconditional kurtosis | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbae019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015339182