4 citations · 4 across the 1 of their papers we have counts for
2 papers
q-fin.RM2012★ 4 cited
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
A. Gabrielsen, P. Zagaglia, A. Kirchner +1
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model th…
q-fin.TR2011
Measuring market liquidity: An introductory survey
Alexandros Gabrielsen, Massimiliano Marzo, Paolo Zagaglia
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and se…