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  • Search: subject:"skew-Student"
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Year of publication
Subject
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Statistical distribution 18 Statistische Verteilung 18 Volatility 14 Volatilität 14 Theorie 13 Theory 13 Estimation 12 Schätzung 12 ARCH model 8 ARCH-Modell 8 Capital income 8 Kapitaleinkommen 8 Markov chain 8 Markov-Kette 8 Risikomaß 8 Risk measure 8 Stochastic volatility 8 Forecasting model 7 Prognoseverfahren 7 Markov chain Monte Carlo 6 Stochastic process 5 Stochastischer Prozess 5 VAR model 5 VAR-Modell 5 Bayes-Statistik 4 Bayesian inference 4 Monte Carlo simulation 4 Monte-Carlo-Simulation 4 Skew-student 4 Aktienindex 3 Börsenkurs 3 Estimation theory 3 Exchange rate 3 Portfolio selection 3 Portfolio-Management 3 Risk measurement 3 Schätztheorie 3 Share price 3 Skew-normal 3 State space model 3
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Online availability
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Undetermined 16 Free 11
Type of publication
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Article 23 Book / Working Paper 9
Type of publication (narrower categories)
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Article in journal 17 Aufsatz in Zeitschrift 17 Working Paper 7 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 1
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Language
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English 26 Undetermined 6
Author
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Nguyen, Hoang 5 Mazur, Stepan 4 Eling, Martin 3 Lunina, Veronika 3 Nakajima, Jouchi 3 Omori, Yasuhiro 3 Batiz-Zuk, Enrique 2 Gohs, Andreas Marcus 2 Green, Rikard 2 Karlsson, Sune 2 Kiss, Tamás 2 Larsson, Karl 2 Nilsson, Birger 2 Poon, Ser-Huang 2 Trojan, Sebastian 2 Österholm, Pär 2 Adam, Anokye M. 1 Adcock, C. J. 1 Antwi, Albert 1 Ausín, M. Concepción 1 Cabral, Celso Rômulo Barbosa 1 Chen, Cathy W. S. 1 Chien, Cindy T. H. 1 Chinhamu, Knowledge 1 Christodoulakis, George 1 Christodoulakis, George A. 1 Esparcia, Carlos 1 Galeano, Pedro 1 Gao, Chun-Ting 1 Gyamfi, Emmanuel Numapau 1 Hammujuddy, Jahvaid 1 Holmes, Mark J. 1 Hou, Yang 1 Huang, Chun-kai 1 Huang, Chun-sung 1 Hürlimann, Werner 1 Lachos, Víctor Hugo 1 Lengua Lafosse, Patricia 1 López, Raquel 1 Meade, Nigel 1
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Institution
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Institute of Economic Research, Hitotsubashi University 1 School of Economics and Political Science, Universität St. Gallen 1
Published in...
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Insurance: Mathematics and Economics 2 Journal of forecasting 2 Working Paper 2 Working paper 2 Australian journal of management 1 Computational Statistics & Data Analysis 1 Computational economics 1 Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics 1 Economic modelling 1 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 1 European journal of operational research : EJOR 1 Global COE Hi-Stat Discussion Paper Series 1 Insurance / Mathematics & economics 1 International Review of Financial Analysis 1 International business and economics research journal 1 International journal of forecasting 1 International review of financial analysis 1 Joint discussion paper series in economics : publ. by the Universities of Aachen, Gießen, Göttingen, Kassel, Marburg, Siegen 1 Journal of Multivariate Analysis 1 Journal of Statistical and Econometric Methods 1 Journal of banking & finance 1 Journal of economic dynamics & control 1 Journal of financial econometrics 1 MAGKS Joint Discussion Paper Series in Economics 1 Research in international business and finance 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 The European journal of finance 1 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 1
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Source
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ECONIS (ZBW) 21 RePEc 7 EconStor 4
Showing 1 - 10 of 32
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Performance of crypto-Forex portfolios based on intraday data
Esparcia, Carlos; López, Raquel - In: Research in international business and finance 69 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015052354
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Forecasting tail risk of skewed financial returns having exponential-polynomial tails
Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748
Persistent link: https://www.econbiz.de/10015110551
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Modeling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian innovations
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - In: Journal of forecasting 42 (2023) 2, pp. 347-368
Persistent link: https://www.econbiz.de/10014292181
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The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil: Automated processes, statistical distribution models and the specification of the mean equation
Gohs, Andreas Marcus - 2022
assumptions (Skew Student-T, Student-T and Gaussian). Accurate one-day-ahead VaR predictions up to the 99% quantile are generally … obtained for the time series when Skew Student-T distributed innovations are assumed. The VaR exceedance rates and their …
Persistent link: https://www.econbiz.de/10014322586
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The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation
Gohs, Andreas Marcus - 2022
assumptions (Skew Student-T, Student-T and Gaussian). Accurate one-day-ahead VaR predictions up to the 99% quantile are generally … obtained for the time series when Skew Student-T distributed innovations are assumed. The VaR exceedance rates and their …
Persistent link: https://www.econbiz.de/10013474092
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Improving quantile forecasts via realized double hysteretic GARCH model in stock markets
Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471
Persistent link: https://www.econbiz.de/10015144246
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Vector autoregression models with skewness and heavy tails
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021
Persistent link: https://www.econbiz.de/10012604814
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Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021
Persistent link: https://www.econbiz.de/10012605022
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Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Green, Rikard; Larsson, Karl; Lunina, Veronika; … - 2016
This study investigates volatility spillovers to electric power from large exogenous shocks in the prices of gas, coal, and carbon emission allowances in the German energy market. Our sample ranges from 2008 to 2016 and covers periods of different market conditions. We use a general VAR-BEKK...
Persistent link: https://www.econbiz.de/10013208746
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Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
Lunina, Veronika - 2016
modelling approach coupled with the skew-Student distribution allows for interrelations in both mean and volatility, and …
Persistent link: https://www.econbiz.de/10013208773
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