Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Volumn , Issue , 2010, Pages

  White, Halbert ^a   Kim, Tae Hwan ^a   Manganelli, Simone ^a  

^a NONE

Author keywords

Covariance matrix; Data generating process; Kurtosis; MQ CAViaR model; Skewness

Indexed keywords

EID: 84920086235     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199549498.003.0012     Document Type: Chapter

References (0)