Time-varying asymmetry and tail thickness in long series of daily financial returns

DOI10.1515/snde-2017-0071OpenAlexW2895534697WikidataQ112207092 ScholiaQ112207092MaRDI QIDQ2691782

Błażej Mazur, Mateusz Pipień

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0071

zbMATH Keywords

GARCH modelsdensity forecastingtail asymmetryflexible Fourier formgeneralized asymmetric Student \(t\) distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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