Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
نویسندگان
چکیده
منابع مشابه
Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to permit joint modeling of multiple quantiles, Multi-Quantile (MQ) CAViaR. We apply our new methods to estim...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2003
ISSN: 0165-1889
DOI: 10.1016/s0165-1889(02)00079-9