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Modeling time-varying higher-order conditional moments : a survey

Soltyk, Sylvia J.; Chan, Felix - In: Journal of economic surveys 37 (2023) 1, pp. 33-57

Persistent link: https://www.econbiz.de/10014287767

Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants

Bouri, Elie; Jalkh, Naji - In: International review of financial analysis 90 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014470883

Flexible time series models for subjective distribution estimation with monetary policy in view

Guegan, Dominique; Ielpo, Florian - HAL - 2008

In this paper, we introduce a new approach to estimate the subjective distribution of the future short rate from the historical dynamics of futures, based on a model generated by a Normal Inverse Gaussian distribution, with dynamical parameters. The model displays time varying conditional...

Persistent link: https://www.econbiz.de/10010738594

Flexible time series models for subjective distribution estimation with monetary policy in view

Guegan, Dominique; Ielpo, Florian - HAL - 2007

Persistent link: https://www.econbiz.de/10010750544

Flexible time series models for subjective distribution estimation with monetary policy in view.

Guégan, Dominique; Ielpo, Florian - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

Persistent link: https://www.econbiz.de/10005670899