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Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously. (2014). Trojan, Sebastian .
In: Economics Working Paper Series.
RePEc:usg:econwp:2013:41.

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  1. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki ; Shoji, Masahiro.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2014cf921.

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    RePEc:rdg:icmadp:icma-dp2011-05.

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  38. Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions. (2011). Galbraith, John ; Zhu, Dongming .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:765-778.

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  39. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf738.

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  40. Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model. (2010). Kouretas, Georgios ; Drakos, Anastassios A. ; Zarangas, Leonidas P..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:331-350.

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  41. Efficient risk simulations for linear asset portfolios in the t-copula model. (2010). Sak, Halis ; Hormann, Wolfgang ; Leydold, Josef .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:202:y:2010:i:3:p:802-809.

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  42. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf215.

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  43. A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION WITH APPLICATION TO FINANCIAL ECONOMETRICS. (2009). Galbraith, John ; Zhu, Dongming .
    In: Departmental Working Papers.
    RePEc:mcl:mclwop:2009-02.

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  44. FORECASTING EXPECTED SHORTFALL WITH A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION. (2009). Galbraith, John ; Zhu, Dongming .
    In: Departmental Working Papers.
    RePEc:mcl:mclwop:2009-01.

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  45. Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution. (2009). Galbraith, John ; Zhu, Dongming .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-24.

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  46. A Generalized Asymmetric Student-t Distribution with Application to Financial Econometrics. (2009). Galbraith, John ; Zhu, Dongming .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-13.

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  47. Multivariate stochastic volatility. (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2007cf488.

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  48. Asymmetric power distribution: Theory and applications to risk measurement. (2007). Komunjer, Ivana.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:5:p:891-921.

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  49. Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.. (2007). Fischer, Matthias.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-012.

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  50. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Miko. (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha .
    In: CARF F-Series.
    RePEc:cfi:fseres:cf094.

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