Browsing by Author "He, Changli"

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Browsing by Author "He, Changli"

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  • He, Changli; Silvennoinen, Annastiina; Terasvirta, Timo (Oxford University Press, 2008)
    In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to ...