SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Parameterizing Unconditional Skewness in Models for Financial Time Series · Study

PreprintShelves

PreprintParameterizing Unconditional Skewness in Models for Financial Time Series

Changli He2008

OA

Preprintgreen2008

Parameterizing Unconditional Skewness in Models for Financial Time Series

Changli He · Annastiina Silvennoinen · Timo Teräsvirta Y

22 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1989Why Does Stock Market Volatility Change Over Time?1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1994Threshold heteroskedastic models 1992No news is good news 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices 1994Autoregressive Conditional Density Estimation

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007Parameterizing Unconditional Skewness in Models for Financial Time Seriesarticle · 21 shared references 2008Glossary to ARCH (GARCH)preprint · 13 shared references 2010Modelling Nonlinear Economic Time Seriesbook · 11 shared references 2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaRarticle · 11 shared references 2001Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreactionarticle · 11 shared references 2001Contemporaneous asymmetry in GARCH processesarticle · 11 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.1148117

openalex_workW2051255754

Links

Imported from OpenAlex (CC0) — nothing here is generated.