Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution
Rachid Belhachemi, Pierre Rostan and François-Éric Racicot
| Year of publication: |
2015
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|---|---|
| Authors: | Belhachemi, Rachid ; Rostan, Pierre ; Racicot, François-Éric |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 47.2015, 49/51, p. 5461-5475
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| Subject: | conditional volatility | conditional skewness | conditional kurtosis | continuous hidden threshold | leverage effect | regime dependence | Volatilität | Volatility | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Theorie | Theory | Korrelation | Correlation | 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://www.econbiz.de/10011341770