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On improved volatility modelling by fitting skewness in ARCH models - MaRDI portal

On improved volatility modelling by fitting skewness in ARCH models (Q5037037)

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scientific article; zbMATH DE number 7481455
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English
On improved volatility modelling by fitting skewness in ARCH models
scientific article; zbMATH DE number 7481455

    Statements

    title
    On improved volatility modelling by fitting skewness in ARCH models (English)
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    author
    Panagiotis Mantalos
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    Alex Karagrigoriou
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    Luboš Střelec
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    Pavlina Jordanova
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    Philipp Hermann
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    Juraj Hudák
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    Milan Stehlík
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    Jozef Kisel'ák
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    publication date
    25 February 2022
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    zbMATH Keywords
    robust test for normality
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    ARCH/GARCH model
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    NoVaS
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    skewness
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    kurtosis
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    Identifiers

    zbMATH DE Number
    7481455
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    OpenAlex ID
    W2977673849
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    Wikidata QID
    Q127192024
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