Modeling dynamic higher moments of crude oil futures
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DOI: 10.1016/j.frl.2020.101570
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- Savadkoohi, Marjan & Macarulla, Marcel & Casals, Miquel, 2023. "Facilitating the implementation of neural network-based predictive control to optimize building heating operation," Energy, Elsevier, vol. 263(PB).
- Umar, Zaghum & Usman, Muhammad & Choi, Sun-Yong & Rice, John, 2023. "Diversification benefits of NFTs for conventional asset investors: Evidence from CoVaR with higher moments and optimal hedge ratios," Research in International Business and Finance, Elsevier, vol. 65(C).
- Dai, Yiming & Jiang, Yuexiang & Long, Huaigang & Wang, Hui & Zaremba, Adam, 2023. "Does realized skewness predict the cross-section of Chinese stock returns?," Finance Research Letters, Elsevier, vol. 58(PB).
- Knobel, Marcelo & Reisberg, Liz, 2022. "Effective Communication: The 4th Mission of Universities—a 21st Century Challenge," University of California at Berkeley, Center for Studies in Higher Education qt0h26647z, Center for Studies in Higher Education, UC Berkeley.
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More about this item
Keywords
Time-varying higher moments; GJR-GARCH; Gram-Charlier expansion; Value-at-risk;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
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