Πλοήγηση School of Economic Sciences and Business ανά Θέμα "Conditional skewness"
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A Market Risk Model for Asymmetric Distributed Series of Return
(2012)In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...