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Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk
16 references·2 citing·38 second hop
Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk (2010)Estimation of Time Varying Skewness and K…Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (2009)Value at Risk with time varyi…Non-negativity Conditions for the Hyperbolic GARCH Model (2007)Non-negativity Conditions for…Modeling Conditional Skewness in Stock Returns (2007)Modeling Conditional Skewness…Autoregresive conditional volatility, skewness and kurtosis (2005)Autoregresive conditional vol…Temporal aggregation of volatility models (2003)Temporal aggregation of volat…Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Entropy densities with an app…The conditional heteroscedasticity of the yen-dollar exchange rate (1998)The conditional heteroscedast…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Consistency of the KPSS unit root test against fractionally integrated alternative (1997)Consistency of the KPSS unit …On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)On the power of the KPSS test…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Some stylized facts of return in the foreign exchange and stock markets in Peru (2013)Some stylized facts of return…Practical implications of higher moments in risk management (2011)Practical implications of hig…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Fractional Brownian Motions, Fractional Noises and Applications (1968)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Modelling structural breaks, long memory and stock market volatility: an overview (2004)An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (2005)Commodity futures and market efficiency (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A long memory property of stock market returns and a new model (1993)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Realized Volatility: A Review (2008)Measuring and Testing the Impact of News on Volatility (1993)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling and pricing long memory in stock market volatility (1996)Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2015)A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis (2018)Investigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Mixed Normal Conditional Heteroskedasticity (2004)Maximum entropy autoregressive conditional heteroskedasticity model (2009)Investment, the Cost of Capital and Monetary Policy in the Nineties in France: A Panel Data Investigation (2010)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Random matrix approach to cross correlations in financial data (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Real and Spurious Long-Memory Properties of Stock-Market Data (1998)Determination of cointegrating rank in fractional systems (2002)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? 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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1994Semiparametric Analysis of Long-Memory Time Series468 cited
  • 1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives425 cited
  • 1998The conditional heteroscedasticity of the yen-dollar exchange rate345 cited
  • 2002Entropy densities with an application to autoregressive conditional skewness and kurtosis262 cited
  • 2005Autoregresive conditional volatility, skewness and kurtosis216 cited
  • 2003Temporal aggregation of volatility models215 cited
  • 2009Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model60 cited
  • 2007Non-negativity Conditions for the Hyperbolic GARCH Model48 cited
  • 2007Modeling Conditional Skewness in Stock Returns

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40 cited
  • 1997Consistency of the KPSS unit root test against fractionally integrated alternative39 cited
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    • 2013Some stylized facts of return in the foreign exchange and stock markets in Peru22 cited
    • 2011Practical implications of higher moments in risk management20 cited