Conditional higher order moments in metal asset returns

DOI10.1080/14697688.2015.1019357zbMath1468.91179OpenAlexW2091833524MaRDI QIDQ5001119

Steven J. Cochran, Iqbal Mansur, Babatunde Odusami

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1019357

zbMATH Keywords

kurtosisvalue-at-riskskewnessmetal returns volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Simulation-based exact jump tests in models with conditional heteroskedasticity
• Generalized method of moments specification testing
• Asymptotic filtering theory for multivariate ARCH models
• A conditional-SGT-VaR approach with alternative GARCH models
• Financial Data and the Skewed Generalized T Distribution
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Testing for a unit root in time series regression
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Autoregressive Conditional Density Estimation
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Gram-Charlier densities.