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Moment-Implied Densities: Properties and Applications

Ghysels, Eric; Wang, Fangfang - In: Journal of Business & Economic Statistics 32 (2014) 1, pp. 88-111

Suppose one uses a parametric density function based on the first four (conditional) moments to model risk. There are quite a few densities to choose from and depending on which is selected, one implicitly assumes very different tail behavior and very different feasible skewness/kurtosis...

Persistent link: https://www.econbiz.de/10010825843

HYBRID GARCH models and intra-daily return periodicity

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Persistent link: https://www.econbiz.de/10010029885

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Persistent link: https://www.econbiz.de/10008230596