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  • Search: subject:"Skew t distribution"
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Year of publication
Subject
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Statistical distribution 10 Statistische Verteilung 10 Theorie 7 Theory 7 ARCH model 6 ARCH-Modell 6 Risikomaß 6 Risk measure 6 Volatility 6 Volatilität 6 Skew-t distribution 5 Estimation 4 Schätzung 4 Capital income 3 Forecasting model 3 Kapitaleinkommen 3 Mixture models 3 Multivariate Analyse 3 Multivariate analysis 3 Multivariate skew-t distribution 3 Prognoseverfahren 3 Risiko 3 Risk 3 skew-t distribution 3 Bivariate skew-t distribution 2 Capital market returns 2 CoVaR 2 EM algorithm 2 Financial crisis 2 Financial market 2 Finanzkrise 2 Finanzmarkt 2 Kapitalmarktrendite 2 Monte Carlo simulations 2 Scale mixtures 2 Skewness 2 Systemic risk 2 Systemrisiko 2 Time series analysis 2 VAR model 2
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Online availability
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Undetermined 19 Free 2
Type of publication
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Article 22 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 12 Aufsatz in Zeitschrift 12 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1 research-article 1
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Language
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English 14 Undetermined 10
Author
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Aoki, Reiko 1 Arellano-Valle, Reinaldo B. 1 Arevalillo, Jorge M. 1 Azzalini, Adelchi 1 Bianchi, Michele Leonardo 1 Bunn, Derek W. 1 Cancho, Vicente 1 Chen, Qian 1 Chen, Qihao 1 Choi, Ji-Eun 1 Doostparast, Mahdi 1 Fung, Thomas 1 Genton, Marc G. 1 Gianfreda, Angelica 1 Hallin, Marc 1 Huang, Zhuo 1 Jamalizadeh, Ahad 1 Kabašinskas, Audrius 1 Kalsyte, Zivile 1 Kim, Hyoung-Moon 1 Kim, Myung Suk 1 Lachos, Victor 1 Lee, Sharon 1 Liang, Fang 1 Liu, Wei-hn 1 Mallick, Bani K. 1 Mata Mata, Leovardo 1 McLachlan, Geoffrey 1 McNicholas, P.D. 1 McNicholas, Paul D. 1 Mordant, Gilles 1 Nakajima, Jouchi 1 Navarro, Hilario 1 Nolde, Natalia 1 Park, Seul-Ki 1 Parrini, Alessandro 1 Plikynas, Darius 1 Ryu, Duchwan 1 Sakalauskas, Leonidas 1 Salehi, Mahdi 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of Multivariate Analysis 3 Statistical Papers / Springer 2 Statistics & Probability Letters 2 Advances in Data Analysis and Classification 1 Applied economics 1 Applied economics letters 1 Computational Statistics & Data Analysis 1 ECARES working paper 1 EconoQuantum : Revista de Economía y Negocios 1 Econometric reviews 1 Economic research 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Finance research letters 1 Journal of Causal Inference 1 Journal of air transport management 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of business economics and management 1 MPRA Paper 1 Quantitative finance 1 The journal of asset management 1
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Source
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ECONIS (ZBW) 13 RePEc 10 Other ZBW resources 1
Showing 1 - 10 of 24
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Multivariate goodness-of-fit tests based on Wasserstein distance
Hallin, Marc; Mordant, Gilles; Segers, Johan - 2020
Persistent link: https://www.econbiz.de/10012179699
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Higher moments in the fundamental specification of electricity forward prices
Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078
Persistent link: https://www.econbiz.de/10013490922
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A conditional heteroscedastic VaR approach with alternative distributions
Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98
Persistent link: https://www.econbiz.de/10012617079
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Conditional extremes in asymmetric financial markets
Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
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Information flows between the US and China's agricultural commodity futures markets : based on VAR-BEKK-skew-t model
Chen, Qian; Weng, Xin - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 71-87
Persistent link: https://www.econbiz.de/10012122852
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Indirect estimation of GARCH models with alpha-stable innovations
Parrini, Alessandro - Volkswirtschaftliche Fakultät, … - 2012
Several studies have highlighted the fact that heavy-tailedness of asset returns can be the consequence of conditional heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly, heavy tails. However, these models...
Persistent link: https://www.econbiz.de/10011260772
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Assessment of market reaction on the share performance on the basis of its visualization in 2D space
Vaiciulyte, Ingrida; Kalsyte, Zivile; Sakalauskas, Leonidas - In: Journal of business economics and management 18 (2017) 2, pp. 309-318
Persistent link: https://www.econbiz.de/10011721806
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Bayesian analysis of multivariate stochastic volatility with skew return distribution
Nakajima, Jouchi - In: Econometric reviews 36 (2017) 5, pp. 546-562
Persistent link: https://www.econbiz.de/10011795262
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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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