Search Results - subject:"Skewed t-Distribution"

What drives risk in China's soybean futures market? Evidence from a flexible GARCH-MIDAS model

Wang, Xinyu; Zhang, Lele; Cheng, Qiuying; Shi, Song; … - In: Journal of Applied Economics 25 (2022) 1, pp. 454-475

valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t … distribution to describe the asymmetry of long and short trading positions, allows for a different number of trading days per month …

Persistent link: https://www.econbiz.de/10015334261

What drives risk in China's soybean futures market? : evidence from a flexible GARCH-MIDAS model

Wang, Xinyu; Zhang, Lele; Cheng, Qiuying; Shi, Song; … - 2022

Persistent link: https://www.econbiz.de/10013176742

Economic policy uncertainty and capital flows' tail risk in China

Huang, Xiaowei; He, Chenyu; Zhang, Man - In: Pacific-Basin finance journal 85 (2024), pp. 1-33

Persistent link: https://www.econbiz.de/10014575707

Portfolio choices and hedge funds : a disappointment aversion analysis

Ferland, René; Lalancette, Simon - In: The European journal of finance 27 (2021) 7, pp. 679-705

Persistent link: https://www.econbiz.de/10012516119

The impact of economic policy uncertainty on volatility of China's financial stocks : an empirical analysis

Wang, Xinyu; Luo, Yi; Wang, Zhuqing; Xu, Yan; Wu, Congxin - In: Finance research letters 39 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012805481

Heavy-tailed distributions and the Canadian stock market returns

Eden, David; Huffman, Paul; Holman, John - In: Copernican Journal of Finance & Accounting : CJF&A 6 (2017) 2, pp. 9-21

Persistent link: https://www.econbiz.de/10012216011

Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 3, pp. 508-526

Persistent link: https://www.econbiz.de/10012211476

Nonparametric bootstrap tests for independence of generalized errors

Du, Zaichao - In: The econometrics journal 19 (2016) 1, pp. 55-83

Persistent link: https://www.econbiz.de/10011487609

An Investigation of the Contagion Effect in Asian Stock Markets under Extreme Rate of Return Using Copula Approach

Lai, Yi-Hao; Chiang, Fu-Sung; Lin, Huang-Chieh - In: Journal of Economics and Management 6 (2010) 2, pp. 247-270

This study applies copula functions with properties of asymmetric dependence structures and extreme value and the GJR-GARCH model with skewed Student t distribution (GJR-GARCH-ST) to estimate the marginal and joint distributions of stock returns in Taiwan, Hong Kong, Japan, South Korea and...

Persistent link: https://www.econbiz.de/10008492962

Portfolio Management under Asymmetric Dependence and Distribution

Hlawatsch, Stefan; Reichling, Peter - Fakultät für Wirtschaftswissenschaft, … - 2010

distributions and dependencies of stock returns. We assume a skewed t-distribution of the returns according to Azzalini and …

Persistent link: https://www.econbiz.de/10008679678