Modelling skewness and kurtosis with the BCPE density in GAMLSS
By Vlasios Voudouris, Robert Gilchrist, Robert A. Rigby, John Sedgwick, D. Stasinopoulos. 2012
58 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6bbfbca7ad836b892e1152c49dbaccb7be9b1d79
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In Finance
Citations in the corpus
- Asymmetric properties of the Pearson correlation coefficient: Correlation as the negative association between linear regression residuals (2016, methodology): “Generalized additive models for location, scale, and shape (GAMLSS, see, for example, Voudouris et al., 2012) explicitly analyze higherorder moments of variables as function of potential predictors.”