Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions

By Dongming Zhu, John W. Galbraith. 2011

83 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f91cbb4f022168822ebeea30afb5d3dbe890afef

Citations in the corpus

• Volatility Modeling with a Generalized t Distribution (2017, unknown): “The PDF of a standardized GED variable, in the form used by Zhu and Zinde-Walsh (2009), is f ."t / D 1 1= 2' .1= / exp 1 j"t j : (9) The GED is a special case of generalized t because, as !”