| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5165 |
| DP5165 Globalization and Emerging Markets: With or Without Crash? | |
| Philippe Martin; Helene Rey | |
| 发表日期 | 2005-08-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the information matrix. We also derive tests for the null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components, from which we obtain more powerful one-sided versions. Finally, we present an empirical application to five NASDAQ sectorial stock returns that indicates that their conditional distribution is asymmetric and leptokurtic, which can be successfully exploited for risk management purposes. |
| 主题 | Financial Economics |
| 关键词 | Inequality constraints Kurtosis Multivariate normality test Skewness Student t Supremum test Tail dependence |
| URL | https://cepr.org/publications/dp5165 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534050 |
| 推荐引用方式 GB/T 7714 | Philippe Martin,Helene Rey. DP5165 Globalization and Emerging Markets: With or Without Crash?. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Philippe Martin]的文章 |
| [Helene Rey]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Philippe Martin]的文章 |
| [Helene Rey]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Philippe Martin]的文章 |
| [Helene Rey]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
