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Citations for "On more robust estimation of skewness and kurtosis"

by Kim, Tae-Hwan & White, Halbert

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  1. Wu, Jyh-Lin & Lee, Chingnun & Wang, Tzu-Wei, 2011. "A re-examination on dissecting the purchasing power parity puzzle," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 572-586, April.
  2. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 646, Stockholm School of Economics.
  3. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  4. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing Unconditional Skewness in Models for Financial Time Series," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 208-230, Spring.
  5. Huo, Lijuan & Kim, Tae-Hwan & Kim, Yunmi, 2012. "Robust estimation of covariance and its application to portfolio optimization," Finance Research Letters, Elsevier, vol. 9(3), pages 121-134.
  6. Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke, 2013. "Asymmetry in government bond returns," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3218-3226.
  7. Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036,, revised Jul 2015.
  8. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris West - Nanterre la Défense, EconomiX.
  9. Matteo Bonato, 2012. "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, vol. 27(3), pages 499-521, September.
  10. Cristina Amado & Timo Terasvirta, 2012. "Modelling Changes in the Unconditional Variance of Long Stock Return Series," NIPE Working Papers 02/2012, NIPE - Universidade do Minho.
  11. Harvey, Andrew, 2010. "Tracking a changing copula," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 485-500, June.
  12. Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011. "How much Asymmetry is there in Bond Returns and Exchange Rates?," Bank of Japan Working Paper Series 11-E-10, Bank of Japan.
  13. Bonato, Matteo, 2011. "Robust estimation of skewness and kurtosis in distributions with infinite higher moments," Finance Research Letters, Elsevier, vol. 8(2), pages 77-87, June.
  14. Gerlach, Stefan & Kugler, Peter, 2007. "Deflation and relative prices: Evidence from Japan and Hong Kong," IMFS Working Paper Series 12, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  15. Canela, Miguel Angel & Collazo, Eduardo Pedreira, 2007. "Portfolio selection with skewness in emerging market industries," Emerging Markets Review, Elsevier, vol. 8(3), pages 230-250, September.
  16. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
  17. Teräsvirta, Timo & Zhao, Zhenfang, 2007. "Stylized Facts of Return Series, Robust Estimates, and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 662, Stockholm School of Economics, revised 05 Jun 2007.
  18. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015. "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, vol. 186(1), pages 258-275.
  19. Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho.
  20. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers ECO2012/20, European University Institute.
  21. Ruiz-Castillo, Javier & Costas, Rodrigo, 2014. "The skewness of scientific productivity," Journal of Informetrics, Elsevier, vol. 8(4), pages 917-934.
  22. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, School of Economics and Management, University of Aarhus.
  23. James Dolmas, 2005. "Trimmed mean PCE inflation," Working Papers 0506, Federal Reserve Bank of Dallas.
  24. Feunou, Bruno & Jahan-Parvar, Mohammad & Okou, Cedric, 2015. "Downside Variance Risk Premium," Finance and Economics Discussion Series 2015-20, Board of Governors of the Federal Reserve System (U.S.).
  25. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  26. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
  27. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," NIPE Working Papers 01/2011, NIPE - Universidade do Minho.
  28. Hua, Jian & Manzan, Sebastiano, 2013. "Forecasting the return distribution using high-frequency volatility measures," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4381-4403.
  29. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría.
  30. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap, 2013. "Which Parametric Model for Conditional Skewness?," Staff Working Papers 13-32, Bank of Canada.
  31. repec:csg:ajrcwp:01 is not listed on IDEAS
  32. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
  33. W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
  34. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
  35. Alexeev, Vitali & Tapon, Francis, 2011. "Testing weak form efficiency on the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 661-691, September.
  36. Colm Kearney & Margaret Lynch, 2005. "Volume and Skewness in International Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp043, IIIS.
  37. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
  38. Javier Ruiz-Castillo Ucelay & Antonio Perianes-Rodríguez, 2014. "Within and across department variability in individual productivity : the case of economics," Economics Working Papers we1404, Universidad Carlos III, Departamento de Economía.
  39. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge.
  40. Yunmi Kim & Tae-Hwan Kim & Tolga Ergun, 2015. "The Instability of the Pearson Correlation Coefficient in the Presence of Coincidental Outliers," Working papers 2015rwp-77, Yonsei University, Yonsei Economics Research Institute.
  41. Martin Eling & Simone Farinelli & Damiano Rossello & Luisa Tibiletti, 2010. "Skewness in hedge funds returns: classical skewness coefficients vs Azzalini's skewness parameter," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(4), pages 290-304, September.
  42. Shih-Kang Chao & Wolfgang K. Härdle & Ming Yuan, 2015. "Factorisable Sparse Tail Event Curves," SFB 649 Discussion Papers SFB649DP2015-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.