A variance frontier model of market volatility: an empirical application

DOI10.1080/00207729508929107zbMath0831.90037OpenAlexW1967850448MaRDI QIDQ4848440

Jati K. Sengupta

Publication date: 17 September 1995

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729508929107

zbMATH Keywords

asymmetryskewnessmarket volatilityvariance frontier models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Modelling and testing for market volatility

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