Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk

DOI10.2202/1558-3708.1720zbMath1194.62099OpenAlexW1997671731MaRDI QIDQ3574763

Jonathan Graeme Dark

Publication date: 2 July 2010

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

Full work available at URL: https://doi.org/10.2202/1558-3708.1720

Mathematics Subject Classification ID

Related Items (6)

Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Bayesian estimation of generalized hyperbolic skewed student GARCH models ⋮ Practical implications of higher moments in risk management ⋮ Adaptive hyperbolic asymmetric power ARCH (A-HY-APARCH) model: stability and estimation ⋮ Non-negativity conditions for the hyperbolic GARCH model ⋮ The long memory HEAVY process: modeling and forecasting financial volatility

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Semiparametric analysis of long-memory time series
• Modeling long memory in stock market volatility
• Entropy densities with an application to autoregressive conditional skewness and kurtosis.
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Temporal aggregation of volatility models
• A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• Long-Term Memory in Stock Market Prices

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