Search Results - "Skewed Student- t distribution"

Journal Article

The Copula-GARCH model of conditional dependencies: An international stock market application

by Jondeau, Eric Rockinger, Michael Published in Journal of international money and finance (2006)

“...Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. When returns are non-normal, it is often...”

Journal Article

Forecasting the realized volatility of CSI 300

by Zhou, Weijie Pan, Jiao Wu, Xiaoli Published in Physica A (01.10.2019)

“...According to the characteristics of realized volatility existing in Shanghai and Shenzhen 300 index (China Securities Index 300, CSI 300), the GARCH family...”

Journal Article

GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

by Ural, Mert
01.12.2009

“...Uygulamalı çalışmalar finansal varlık getirilerinin şişman kuyruk (leptokurtosis) özelliği sergilediklerini ve genellikle oynaklık kümelenmesi ve asimetrik...”

Journal Article

GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

by Mert Ural Published in Sosyal Ekonomik Araştırmalar Dergisi (01.12.2009)

“...Uygulamalı çalışmalar finansal varlık getirilerinin şişman kuyruk (leptokurtosis) özelliği sergilediklerini ve genellikle oynaklık kümelenmesi ve asimetrik...”

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Journal Article

GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

by Mert URAL Published in Sosyal Ekonomik Araştırmalar Dergisi (01.12.2009)

“...Uygulamalı çalışmalar finansal varlık getirilerinin şişman kuyruk (leptokurtosis) özelliği sergilediklerini ve genellikle oynaklık kümelenmesi ve asimetrik...”

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Journal Article

An empirical comparison of transformed diffusion models for VIX and VIX futures

by Bu, Ruijun Jawadi, Fredj Li, Yuyi Published in Journal of international financial markets, institutions & money (01.01.2017)

“...•Transformed diffusions are flexible and analytically tractable.•We provide a formal classification of transformed diffusions.•We propose two new...”

Journal Article

Long memory properties in return and volatility: Evidence from the Korean stock market

by Kang, Sang Hoon Yoon, Seong-Min Published in Physica A (2007)

“...In this paper, we study the dual long memory property of the Korean stock market. For this purpose, the ARFIMA–FIGARCH model is applied to two daily Korean...”

Journal Article

VALUE AT RISK ANALYSIS WITH EXPECTED SHORTFALL

by Ural, Mert Adakale, Türker
01.05.2009

“...Uygulamalı çalışmalar, finansal varlık getirilerinin şişman kuyruklu olduklarını ve büyük bir kısmının volatilite kümelenmesi ve asimetri ile karakterize...”

Journal Article

A two-regime threshold model with conditional skewed Student t distributions for stock returns

by Massacci, Daniele Published in Economic modelling (01.12.2014)

“...This paper proposes a two-regime threshold model for the conditional distribution of stock returns in which returns follow a distinct skewed Student t...”

Journal Article

Bayesian QTL mapping using skewed Student-t distributions

by VON ROHR, Peter HOESCHELE, Ina Published in Genetics selection evolution (Paris) (2002)

“...In most QTL mapping studies, phenotypes are assumed to follow normal distributions. Deviations from this assumption may lead to detection of false positive...”

Journal Article

A Skewed Student-t Value-at-Risk Approach for Long Memory Volatility Processes in Japanese Financial Markets

by Yoon, Seong¡-Min Kang, Sang-Hoon Published in East Asian economic review (30.06.2007)

“...This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese...”

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Journal Article

Bayesian QTL mapping using skewed Student-t distributions

by von Rohr, Peter Hoeschele, Ina Published in Genetics selection evolution (Paris) (15.01.2002)

“...In most QTL mapping studies, phenotypes are assumed to follow normal distributions. Deviations from this assumption may lead to detection of false positive...”

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Journal Article

VALUE-AT-RISK ANALYSIS OF KOSPI 200 SECTOR INDICES

by Yoon, Seong-Min Cho, Hwan-Gue Ryu, Suyeol Kang, Sang Hoon Cho, Sung-Jin Published in Theoretical and Applied Economics (2009)

“...We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t...”

Book Chapter

Dynamic Copula-Based GARCH Model Analysis China Outbound Tourism Demand

by Tang, Jiechen Sriboonditta, Songsak Yuan, Xinyu Wu, Berlin Published in Innovative Management in Information and Production (04.06.2013)

“...This paper used dynamic copula-GARCH model to analysis volatility and dependency of China outbound tourism to four leading countries, namely, Thailand,...”

Journal Article

Value- at- Risk를 통한 실현변동성 모형과 GARCH 계열 모형의 예측성과 비교

by 전찬수 Chan Soo Jeon Published in 선물연구 (30.05.2013)

“...본 연구의 목적은 조건부 오차항의 분포를 정규분포, t－분포, skewed t－분포로 가정 하에 고빈도 자료인 일중 수익률을 사용하는 실현변동성 모형과 일일 수익률을 사용하는 GARcH 계열 모형 중 어느 모형이 vaR 예측성과에 있어 더 우수한지 비교·분석하는 것이다. 본 연구의...”

Journal Article

아시아 이머징 주식시장에서의 VaR 분석: 수익률 분포의 비대칭성과 꼬리가 두터운 특징을 중심으로

by 노현승 Hyun Seong Roh 강상훈 Sang Hoon Kang Published in 한국금융공학회 학술발표논문집 (30.06.2014)

“...본 연구는 아시아 이머징 주식시장 MSCI지수 수익률을 사용하여 변동성의 장기기억 특성을 나타내는 AR(1)-FIGARCH 와 AR(1)-FIAPARCH 모형을 이용하여 수익률 분포도 가정의 적합도를 실증 분석하였다. 즉, 정규분포, Student-t 분포, Skewed...”

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