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Modeling Autoregressive Conditional Skewness and Kurtosis with Multi‐Quantile CAViaR

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References

2000Conditional Skewness in Asset Pricing Tests2,837 cited
2004CAViaR2,210 cited
2004On more robust estimation of skewness and kurtosis523 cited
1999Modelling emerging market risk premia using higher moments239 cited
1998High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility148 cited

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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies44 cited
2010The Impact of the Euro on Equity Markets41 cited
2009Asset Prices and Current Account Fluctuations in G-7 Economies37 cited
2012Tails of Inflation Forecasts and Tales of Monetary Policy21 cited
2009Inflation Forecasting in the New EU Member States19 cited

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