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Entropy densities with an application to autoregressive conditional skewness and kurtosis · Study

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ArticleEntropy densities with an application to autoregressive conditional skewness and kurtosis

Michael Rockinger2002

OA

Articlegreen2002

Entropy densities with an application to autoregressive conditional skewness and kurtosis

Michael Rockinger · Éric Jondeau

262 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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Citations in this library

Stored only when both papers are in the corpus — 262 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1994Autoregressive Conditional Density Estimation 1994Chapter 49 Arch models 1999Autoregressive Conditional Skewness

Cited by

2009Maximum entropy autoregressive conditional heteroskedasticity model 2004Mixed Normal Conditional Heteroskedasticity 2010Investment, the Cost of Capital and Monetary Policy in the Nineties in France: A Panel Data Investigation 2010Price Rigidity: Evidence from the French CPI Macro-Data 2002Optimal capacity in the banking sector and economic growth 2010Testing for a Forward-Looking Phillips Curve: Additional Evidence from European and US Data 2010Pitfalls in Investment Euler Equations 2002Croissance économique et diffusion des TIC : le cas de la France sur longue période (1980-2000)

Details

Year2002

Typearticle

Published2002-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations262

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0304-4076(01)00092-6

openalex_workW3122572058

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