Bad environments, good environments : a non-Gaussian asymmetric volatility model
Geert Bekaert; Eric Engstrom; Andrey Ermolov
| Year of publication: |
2015
|
|---|---|
| Authors: | Bekaert, Geert ; Engstrom, Eric ; Ermolov, Andrey |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 186.2015, 1, p. 258-275
|
| Subject: | Non-Gaussianities | GARCH | Asymmetric volatility | Conditional skewness | Risk management | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikomanagement | Statistische Verteilung | Statistical distribution | Theorie | Theory | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011349501