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PreprintAutoregressive Conditional Skewness

Akhtar R. Siddique2000

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Preprintgreen2000

Autoregressive Conditional Skewness

Akhtar R. Siddique · Campbell R. Harvey

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1985Stock Returns and the Term Structure 1997Emerging equity market volatility 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns 1991Semiparametric ARCH Models

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Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations126

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.61332

openalex_workW2165682276

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