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  • Search: subject:"conditional Non-Normality"
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ARCH model 1 ARCH-Modell 1 Asymmetric volatility 1 Capital income 1 Conditional non-normality 1 Cryptocurrencies 1 Financial market 1 Finanzmarkt 1 Kapitaleinkommen 1 Leptokurtosis 1 Location parameter 1 Outliers 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Skewness 1 Time series analysis 1 Virtual currency 1 Virtuelle Währung 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 behavioural Anomalies 1 conditional Non-Normality 1 conditional Volatility 1 long Memory 1 tail Risk 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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McAleer, Michael 1 Siu, Tak Kuen 1 Verhoeven, Peter 1
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Applied economics 1 Mathematics and Computers in Simulation (MATCOM) 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
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Fat tails and asymmetry in financial volatility models
Verhoeven, Peter; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 3, pp. 351-361
Although the generalised autoregressive conditional heteroskedasticity (GARCH) model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in capturing the effects of extreme...
Persistent link: https://www.econbiz.de/10010748637
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