Pages that link to "Item:Q1623534"
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The following pages link to EGARCH models with fat tails, skewness and leverage (Q1623534):
Displaying 27 items.
- Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (Q478213) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements (Q951384) (← links)
- Fat tails and asymmetry in financial volatility models. (Q1427747) (← links)
- Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
- Goodness-of-fit tests for Log-GARCH and EGARCH models (Q1708360) (← links)
- The correct regularity condition and interpretation of asymmetry in EGARCH (Q1786770) (← links)
- Entropy densities with an application to autoregressive conditional skewness and kurtosis. (Q1858911) (← links)
- Maximum likelihood estimation for score-driven models (Q2116342) (← links)
- Portmanteau test for the asymmetric power GARCH model when the power is unknown (Q2151687) (← links)
- Fat tails in leading indicators (Q2208677) (← links)
- Model-based fuzzy time series clustering of conditional higher moments (Q2237183) (← links)
- Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (Q2663482) (← links)
- Volatility Modeling with a Generalized<i>t</i>Distribution (Q2968461) (← links)
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model (Q4549742) (← links)
- Modeling the Interactions between Volatility and Returns using EGARCH‐M (Q4556517) (← links)
- Inference for asymmetric exponentially weighted moving average models (Q5111784) (← links)
- Time‐series models with an EGB2 conditional distribution (Q5176863) (← links)
- EGARCH Model with Weighted Liquidity (Q5415909) (← links)
- A dynamic conditional score model for the log correlation matrix (Q6090565) (← links)
- GTL regression: a linear model with skewed and thick-tailed disturbances (Q6172587) (← links)
- Multiway clustering with time-varying parameters (Q6538406) (← links)
- Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
- Modelling volatility dependence with score copula models (Q6553228) (← links)
- Reverse engineering the last-minute on-line pricing practices: an application to hotels (Q6596735) (← links)
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (Q6623173) (← links)
