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Search: subject:"conditional skewness"
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Conditional skewness
15
ARCH model
13
ARCH-Modell
13
Capital income
13
Kapitaleinkommen
13
Statistical distribution
12
Statistische Verteilung
12
Theorie
12
Theory
12
Volatility
10
Volatilität
10
conditional skewness
8
GARCH
5
Conditional volatility
4
Conditional skewness and kurtosis
3
Forecasting model
3
Prognoseverfahren
3
Aktienindex
2
Asymmetric volatility
2
Börsenkurs
2
Conditional kurtosis
2
GARCH-in-Mean
2
GMM
2
Hidden truncation distribution
2
Index futures
2
Index-Futures
2
M-estimator
2
Non-Gaussianities
2
Portfolio selection
2
Portfolio-Management
2
QMLE
2
Risikomaß
2
Risk management
2
Risk measure
2
Risk-return tradeoff
2
Sample skewness
2
Sampling
2
Share price
2
Spillover effect
2
Spillover-Effekt
2
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Undetermined
20
Free
8
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Article
22
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Article in journal
17
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research-article
1
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English
22
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8
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Belhachemi, Rachid
3
Lanne, Markku
3
Bekaert, Geert
2
Engstrom, Eric
2
Ermolov, Andrey
2
Saikkonen, Pentti
2
Serna, Gregorio
2
Ahmad, Muhammad Munir
1
Ahmad, Muneeb
1
Anatolyev, Stanislav
1
Atance, David
1
Bouri, Elie
1
Charoenrook, Anchada
1
Daouk, Hazem
1
Dovonon, Prosper
1
Du, Lingshan
1
Ellina, Polina
1
Eriksson, Anders
1
Feunou, Bruno
1
Forsberg, Lars
1
Hamori, Shigeyuki
1
He, Xie
1
Holmes, Mark J.
1
Hou, Yang
1
Jahan-Parvar, Mohammad R.
1
Jalkh, Naji
1
Khan, Yousaf Ali
1
Kirby, Chris
1
Lai, Jing-yi
1
Lambert, Philippe
1
Laurent, Sébastien
1
Liang, Fang
1
Liu, Xiaochun
1
Luger, Richard
1
MEDDAHI, Nour
1
Meddahi, Nour
1
Pan, Zhibin
1
Pang, Tao
1
Pelagatti, Matteo
1
Pentti, Saikkonen
1
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Econometric Society
2
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Charles H. Dyson School of Applied Economics and Management, Cornell University
1
Department of Economics, European University Institute
1
Département de Sciences Économiques, Université de Montréal
1
European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Applied economics
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Australian journal of management
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Econometric Society 2004 Australasian Meetings
1
Econometric Society 2004 North American Summer Meetings
1
Economics Working Papers / Department of Economics, European University Institute
1
Finance research letters
1
International journal of financial engineering
1
International review of financial analysis
1
Journal of Econometrics
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international money and finance
1
MPRA Paper
1
Review of quantitative finance and accounting
1
Studies in Economics and Finance
1
Studies in Nonlinear Dynamics & Econometrics
1
Studies in economics and finance
1
The European Journal of Finance
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The Quarterly Review of Economics and Finance
1
The journal of computational finance
1
The journal of futures markets
1
The quarterly review of economics and finance
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Working Papers / Charles H. Dyson School of Applied Economics and Management, Cornell University
1
Working Papers ECARES
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ECONIS (ZBW)
17
RePEc
12
Other ZBW resources
1
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1
Hidden truncation model with heteroskedasticity : S&P 500 index returns reexamined
Belhachemi, Rachid
- In:
Studies in economics and finance
41
(
2024
)
5
,
pp. 1085-1105
Persistent link: https://www.econbiz.de/10015199624
Saved in:
2
Option pricing with dynamic
conditional
skewness
Liang, Fang
;
Du, Lingshan
- In:
The journal of futures markets
44
(
2024
)
7
,
pp. 1154-1188
Persistent link: https://www.econbiz.de/10014553957
Saved in:
3
Time-varying expected returns,
conditional
skewness
and Bitcoin return predictability
Atance, David
;
Serna, Gregorio
- In:
The quarterly review of economics and finance
96
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014631563
Saved in:
4
Hidden truncation model with heteroskedasticity: S&P 500 index returns reexamined
Belhachemi, Rachid
- In:
Studies in Economics and Finance
41
(
2024
)
5
,
pp. 1085-1105
, specifically volatility clustering, leverage effect,
conditional
skewness
and kurtosis. The authors also compare the performance of …
Persistent link: https://www.econbiz.de/10015356122
Saved in:
5
A closer look at the regime-switching evidence of bull and bear markets
Kirby, Chris
- In:
Finance research letters
52
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014472216
Saved in:
6
On the predictive ability of conditional market skewness
Serna, Gregorio
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
Saved in:
7
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
Saved in:
8
Portfolio optimization under distribution uncertainty with a feature fusion of
conditional
skewness
GARCH model
Khan, Yousaf Ali
;
Ahmad, Muneeb
;
Ahmad, Muhammad Munir
- In:
International journal of financial engineering
10
(
2023
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014304236
Saved in:
9
Stochastic properties and pricing of Bitcoin using a GJR-GARCH model with
conditional
skewness
and kurtosis components
Theodossiou, Panayiotis
;
Ellina, Polina
;
Savva, Christos S.
- In:
Review of quantitative finance and accounting
59
(
2022
)
2
,
pp. 695-716
Persistent link: https://www.econbiz.de/10013459306
Saved in:
10
A simple and robust approach for expected shortfall estimation
Pan, Zhibin
;
Pang, Tao
;
Zhao, Yang
- In:
The journal of computational finance
25
(
2021
)
1
,
pp. 77-107
Persistent link: https://www.econbiz.de/10012672323
Saved in:
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