Partially Adaptive and Robust Estimation of Asset Models: Accommodating Skewness and Kurtosis in Returns

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Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
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"Partially Adaptive and Robust Estimation of Asset Models: Accommodating Skewness and Kurtosis in Returns"
written by James B. McDonald, Richard A. Michelfelder,
published by Journal of Mathematical Finance, Vol.7 No.1, 2017

has been cited by the following article(s):

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[12]	Anticipating extreme losses using score-driven shape filters Studies in Nonlinear Dynamics & Econometrics, 2022 DOI:10.1515/snde-2021-0102

[13]	Forecasting VaR and CVaR Based on a Skewed Exponential Power Mixture, in Compliance With the New Market Risk Regulation SSRN Electronic Journal , 2022 DOI:10.2139/ssrn.4160130

[14]	Dynamic quantile function models Quantitative Finance, 2022 DOI:10.1080/14697688.2022.2053193

[15]	Anticipating extreme losses using score-driven shape filters Studies in Nonlinear Dynamics & Econometrics, 2022 DOI:10.1515/snde-2021-0102

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[17]	A Universal Stress Scenario Approach for Capitalising Non-modellable Risk Factors Under the FRTB SSRN Electronic Journal , 2021 DOI:10.2139/ssrn.3884845

[18]	A comparison of the GB2 and skewed generalized log-t distributions with an application in finance Journal of Econometrics, 2021 DOI:10.1016/j.jeconom.2021.01.003

[19]	Nouvelle réglementation internationale du risque de marché : rôles de la VaR et de la CVaR dans la validation des modèles Assurances et gestion des risques, 2021 DOI:10.7202/1076124ar

[20]	A comparison of the GB2 and skewed generalized log-t distributions with an application in finance Journal of Econometrics, 2021 DOI:10.1016/j.jeconom.2021.01.003

[21]	A Universal Stress Scenario Approach for Capitalising Non-modellable Risk Factors Under the FRTB SSRN Electronic Journal, 2021 DOI:10.2139/ssrn.3884845

[22]	Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate Applied Economics, 2019 DOI:10.1080/00036846.2019.1588952

[23]	Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar SERIEs, 2018 DOI:10.1007/s13209-018-0186-0

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