Πλοήγηση School of Economic Sciences and Business ανά Θέμα "Conditional skewness"

  • A Market Risk Model for Asymmetric Distributed Series of Return 

    Giannopoulos, Kostas; Nekhili, Ramzi (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. ...