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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR. (English) Zbl 1229.91366

Bollerslev, Tim (ed.) et al., Volatility and time series econometrics. Essays in honor of Robert F. Engle. Oxford: Oxford University Press (ISBN 978-0-19-954949-8/hbk). Advanced Texts in Econometrics, 231-256 (2010).
MSC:  91G70 62M10 62P05
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