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ARCH model 1 ARCH-Modell 1 Capital income 1 Correlation 1 Kapitaleinkommen 1 Korrelation 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 conditional kurtosis 1 conditional skewness 1 conditional volatility 1 continuous hidden threshold 1 leverage effect 1 regime dependence 1
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English 1
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Belhachemi, Rachid 1 Racicot, François-Éric 1 Rostan, Pierre 1
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Applied economics 1
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Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution
Belhachemi, Rachid; Rostan, Pierre; Racicot, François-Éric - In: Applied economics 47 (2015) 49/51, pp. 5461-5475
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