Time-varying asymmetry and tail thickness in long series of daily financial returns
Błażej Mazur, Mateusz Pipień
| Year of publication: |
Dez 2018
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|---|---|
| Authors: | Mazur, Błażej ; Pipień, Mateusz |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 5, p. 1-21
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| Subject: | density forecasting | Flexible Fourier Form | GARCH models | generalized asymmetric Student t distribution | tail asymmetry | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0071 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011965380