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  • Search: subject:"Shape parameter"
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Year of publication
Subject
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Asymmetric Laplace distribution 2 Exponentially weighted moving average (EWMA) 2 Skewed EWMA 2 Skewness and heavy tails 2 Time-varying shape parameter 2 Value-at-risk (VaR) 2 forecasting 2 F distribution 1 Vol-of-Vol 1 heavy tails 1 realized kernel 1 score-driven dynamics 1 time-varying shape-parameter 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
All
Working Paper 1
Language
All
Undetermined 2 English 1
Author
All
Huang, Hai 2 Lu, Zudi 2 Gerlach, Richard 1 Lucas, André 1 Opschoor, Anne 1
Institution
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Business School, University of Sydney 2
Published in...
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Working Papers / Business School, University of Sydney 2 Tinbergen Institute Discussion Paper 1
Source
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RePEc 2 EconStor 1
Showing 1 - 3 of 3
Cover Image
Time-varying tail behavior for realized kernels
Opschoor, Anne; Lucas, André - 2019
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel...
Persistent link: https://www.econbiz.de/10012114804
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Cover Image
Estimating Value At Risk
Lu, Zudi; Huang, Hai - Business School, University of Sydney - 2010
shape parameter controlling the skewness and kurtosis in the distribution is suggested. Backtesting results show that our …
Persistent link: https://www.econbiz.de/10010690293
Saved in:
Cover Image
Estimating Value At Risk
Gerlach, Richard; Huang, Hai; Lu, Zudi - Business School, University of Sydney - 2010
shape parameter controlling the skewness and kurtosis in the distribution is suggested. Backtesting results show that our …
Persistent link: https://www.econbiz.de/10010699868
Saved in:
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