Search Results - subject:"Conditional skewness and kurtosis"

Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components

Theodossiou, Panayiotis; Ellina, Polina; Savva, Christos S. - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 695-716

Persistent link: https://www.econbiz.de/10013459306

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures

Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265

Persistent link: https://www.econbiz.de/10012216958

Unfolded GARCH models

Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217

Persistent link: https://www.econbiz.de/10011574655

Quadratic M-Estimators for ARCH-Type Processes

Meddahi, Nour; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

This paper addresses the issue on estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads to take into account the covariance between the mean and the...

Persistent link: https://www.econbiz.de/10005100653

Quadratic M-Estimators for ARCH-Type Processes

MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998

This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account the covariance between the mean and the...

Persistent link: https://www.econbiz.de/10005729782