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Looking for skewness in financial time series
16 references·2 citing·47 second hop
Looking for skewness in financial time series (2009)Looking for skewness in financial time se…Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…On more robust estimation of skewness and kurtosis (2004)On more robust estimation of …Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…What good is a volatility model? (2001)What good is a volatility mod…The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)The Risk in Hedge Fund Strate…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…No news is good news (1992)No news is good newsThe stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Rational Expectation…The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation (2016)The Role of the Conditional S…Econometric modeling and value-at-risk using the Pearson type-IV distribution (2012)Econometric modeling and valu…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Performance of Mutual Funds in the Period 1945-1964 (1968)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risks and Portfolio Decisions Involving Hedge Funds (2003)Hedge Fund Benchmarks: A Risk-Based Approach (2004)The Strategic and Tactical Value of Commodity Futures (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Asymmetric correlations of equity portfolios (2002)Chapter 18 A survey of behavioral finance (2003)Who Gambles in the Stock Market? (2009)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Coherent Measures of Risk (1999)The risk management of nothing (2009)Does Competition Reduce the Risk of Bank Failure? (2010)Markets: The Credit Rating Agencies (2010)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Is the correlation in international equity returns constant: 1960–1990? (1995)
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References

  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,918 cited
  • 2010Basel Committee On Banking Supervision1,591 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 2001The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers1,198 cited
  • 1982Bubbles, Rational Expectations and Financial Markets1,130 cited
  • 2001Characteristics of Risk and Return in Risk Arbitrage765 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 2001What good is a volatility model?691 cited
  • 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements558 cited

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2004
On more robust estimation of skewness and kurtosis
523 cited

Cited by

  • 2012Econometric modeling and value-at-risk using the Pearson type-IV distribution36 cited
  • 2016The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation25 cited