Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

X. Zhang, D.D. Creal, S.J. Koopman, A. Lucas

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherDuisenberg School of Finance
Number of pages34
Publication statusPublished - 2011

Publication series

NameDSF/TI Discussion Paper
No.11-078/2/DSF22

Cite this

Zhang, X., Creal, D. D., Koopman, S. J., & Lucas, A. (2011). Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails. (DSF/TI Discussion Paper; No. 11-078/2/DSF22). Amsterdam: Duisenberg School of Finance.
Zhang, X. ; Creal, D.D. ; Koopman, S.J. ; Lucas, A. / Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails. Amsterdam : Duisenberg School of Finance, 2011. (DSF/TI Discussion Paper; 11-078/2/DSF22).
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Zhang, X, Creal, DD, Koopman, SJ & Lucas, A 2011 'Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails' DSF/TI Discussion Paper, no. 11-078/2/DSF22, Duisenberg School of Finance, Amsterdam.

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails. / Zhang, X.; Creal, D.D.; Koopman, S.J.; Lucas, A.

Amsterdam : Duisenberg School of Finance, 2011. (DSF/TI Discussion Paper; No. 11-078/2/DSF22).

Research output: Working paperProfessional

TY - UNPB

T1 - Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

AU - Zhang, X.

AU - Creal, D.D.

AU - Koopman, S.J.

AU - Lucas, A.

PY - 2011

Y1 - 2011

M3 - Working paper

T3 - DSF/TI Discussion Paper

BT - Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

PB - Duisenberg School of Finance

CY - Amsterdam

ER -

Zhang X, Creal DD, Koopman SJ, Lucas A. Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails. Amsterdam: Duisenberg School of Finance. 2011. (DSF/TI Discussion Paper; 11-078/2/DSF22).