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Search: subject:"Non-Gaussianities"
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Finance research letters
32
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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2
Bad environments, good environments: A non-Gaussian asymmetric volatility model
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of Econometrics
186
(
2015
)
1
,
pp. 258-275
heteroskedasticity (GARCH) class that admits conditional
non-Gaussianities
in a tractable fashion. Our “bad environment–good environment …
Persistent link: https://www.econbiz.de/10011209276
Saved in:
3
Bad environments, good environments : a non-Gaussian asymmetric volatility model
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 258-275
Persistent link: https://www.econbiz.de/10011349501
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