The role of multivariate skew-student density in the estimation of stock market crashes
Lei Wu, Quingbin Meng and Julio C. Velazquez
| Year of publication: |
October-December 2015
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| Authors: | Wu, Lei ; Meng, Qingbin ; Velazquez, Julio C. |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 13/15, p. 1144-1160
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| Subject: | multivariate skew-Student density | TVC-GARCH model | stock market crashes | crash probability forecast | Finanzkrise | Financial crisis | Börsenkurs | Share price | Theorie | Theory | Statistische Verteilung | Statistical distribution | Aktienmarkt | Stock market | Multivariate Analyse | Multivariate analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Wahrscheinlichkeitsrechnung | Probability theory | ARCH-Modell | ARCH model | Volatilität | Volatility |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2012.659748 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419786