Results 71 to 80 of about 685,977 (197)
Limit Distributions for Mardia's Measure of Multivariate Skewness
The Annals of Statistics, 1992 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Henze, Norbert, Baringhaus, Ludwig
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AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS [PDF]
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the ...
Ángel León +2 more
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Modeling Conditional Skewness in Stock Returns [PDF]
In this paper we propose a new GARCH-in-Mean (GARCH-M) model allowing for conditional skewness. The model is based on the so-called z distribution capable of modeling moderate skewness and kurtosis typically encountered in stock return series.
Markku Lanne, Pentti Saikkonen
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Shape mixtures of multivariate skew-normal distributions
Journal of Multivariate Analysis, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Arellano Valle, Reinaldo B. +2 more
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Наукові праці Лісівничої академії наук України, 2021 High productivity even-aged beech stands of the north-east mega slope of the Ukrainian Carpathian in different age are the study object in this scientific work.
Yulian Kahaniak +2 more
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International Portfolio Formation, Skewness & the Role of Gold [PDF]
This paper examines the optimal allocation of assets in well diversified equity based portfolio where the investor is concerned not only with mean and variance but also with the skewness of the returns.
Brian M Lucey, Valerio Poti, Edel Tully
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Autorregresive conditional volatility, skewness and kurtosis [PDF]
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the ...
León, Angel +2 more
core
Skewness and kurtosis of multivariate Markov-switching processes
Computational Statistics & Data Analysis, 2016 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
FIORENTINI, GABRIELE +2 more
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Malaysian Acquiring Firms' Shareholders' Wealth Effect Following Cross-Border Acquisition
Journal of Accounting and Finance in Emerging Economies, 2017 Purpose: The purpose of this study is to investigate long run shareholders' wealth effect (SWE) of Malaysian acquiring firms following cross-border acquisition (CBA). Methodology: Using buy-and-hold abnormal returns (BHAR) measure of SWE and Euclidean
Md. Mahadi Hasan +4 more
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A General Class of Multivariate Skew-Elliptical Distributions
Journal of Multivariate Analysis, 2001 Let \({\mathbf X}= (X_1,\dots, X_k)^T\) be a random vector elliptically distributed with location vector \(\mu\in \mathbb{R}^k\) and \(k\times k\) (positive definite) dispersion matrix \(\Sigma\), and assume that the vector \((X_0, X_1,\dots, X_k)^T\) is also elliptically distributed with location vector \((0,\mu)\) and dispersion matrix \(\left ...
Branco, Márcia D., Dey, Dipak K.
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