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Search: subject:"Unconditional skewness"
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Capital income
3
Kapitaleinkommen
3
Statistical distribution
3
Statistische Verteilung
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unconditional skewness
3
ARCH model
2
ARCH-Modell
2
Estimation theory
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GARCH
2
Schätztheorie
2
Unconditional skewness
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asymmetry
2
Asymmetry
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CAPM
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Nonlinearity
1
Portfolio selection
1
Portfolio-Management
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Risikomaß
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Risikoprämie
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Risk measure
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Risk premium
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Shock Impact Curve
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TGARCH
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Theorie
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Theory
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Third-order Cornish-Fisher
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Time series
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asymmetric distribution
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equity screening
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English
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Carnero, M. Angeles
2
He, Changli
2
Silvennoinen, Annastiina
2
Teräsvirta, Timo
2
Ñíguez, Trino-Manuel
2
Hafner, Christian M.
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Kyriakopoulou, Dimitra
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León Valle, Ángel Manuel
1
León, Angel
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Finance Discipline Group, Business School
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School of Economics and Management, University of Aarhus
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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Analytic moments of TGARCH(1,1) models with polynomially adjusted densities
Carnero, M. Angeles
;
León Valle, Ángel Manuel
; …
-
2025
Persistent link: https://www.econbiz.de/10015339182
Saved in:
2
Skewness in energy returns : estimation, testing and implications for tail risk
Carnero, M. Angeles
;
León, Angel
;
Ñíguez, Trino-Manuel
- In:
The quarterly review of economics and finance : journal …
90
(
2023
),
pp. 178-189
Persistent link: https://www.econbiz.de/10014431948
Saved in:
3
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
Saved in:
4
Parameterizing
unconditional
skewness
in models for financial time series
He, Changli
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
School of Economics and Management, University of Aarhus
-
2008
a model should possess if it is to accommodate
unconditional
skewness
. We consider modelling the unconditional mean and …
Persistent link: https://www.econbiz.de/10005440080
Saved in:
5
Parameterizing
Unconditional
Skewness
in Models for Financial Time Series
He, Changli
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
Finance Discipline Group, Business School
-
2005
properties a model should possess if it is to accommodate for
unconditional
skewness
. We consider modelling the unconditional …
Persistent link: https://www.econbiz.de/10004980458
Saved in:
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