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Archivio della ricerca - Università degli studi di Napoli "Parthenope"
Conference object . 2006
Data sources: Archivio della ricerca - Università degli studi di Napoli "Parthenope"
Archivio istituzionale della ricerca - Università di Urbino
Conference object . 2006
Data sources: Archivio istituzionale della ricerca - Università di Urbino
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The Skew-t Garch Model

descriptionPublicationkeyboard_double_arrow_right Conference object 01 Jan 2006 Italy English
Authors: DE LUCA, GIOVANNI; LOPERFIDO N.;

handle: 11576/1892568 , 11367/20500

The Skew-t Garch Model

Abstract

A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate. This encounters the possible leptokurtosis and skewness of the returns.

Country
Italy
Related Organizations
Keywords

Financial return, skewness, skew-t density

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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