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Kurtosis / Skewness / Data analysis / Normal distribution / Quantile / Exponential distribution / Autoregressive conditional heteroskedasticity / Variance / Sample maximum and minimum / Statistics / Summary statistics / Probability theory


Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
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Document Date: 2008-11-13 08:28:00

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File Size: 1,06 MB

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Yonsei University / University Park / University of California / University of Nottingham / /

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Yonsei University / Seoul / Department of Economics / University of Nottingham / European Central Bank / School of Economics / University of California / San Diego / /

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Halbert White / Simone Manganelli / Tae-Hwan Kim / /

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