357 citations · 1.2k across the 27 of their papers we have counts for
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econ.EM2021★ 1 cited
Non-stationary GARCH modelling for fitting higher order moments of financial series within moving time windows
Luke De Clerk, Sergey Savel'ev
Here, we have analysed a GARCH(1,1) model with the aim to fit higher order moments for different companies' stock prices. When we assume a gaussian conditional distribution, we fai…
econ.EM2021
An investigation of higher order moments of empirical financial data and the implications to risk
Luke De Clerk, Sergey Savel'ev
Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to bel…