Estimating Conditional Volatility Using Asymmetric Probability Density Functions

P. Verhoeven; Michael Mcaleer

Estimating Conditional Volatility Using Asymmetric Probability Density Functions

P. Verhoeven, Michael Mcaleer

Graduate Research School

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

Original language	English
Title of host publication	Proceedings of the International Congress on Modelling & Simulation
Editors	F. Ghessemi, M. McAleer, L. Oxley, M. Scoccimarro
Place of Publication	Australian National University, Canberra
Publisher	Modelling and Simulation Society of Australia and New Zealand Inc.
Pages	1549-1556
Volume	3
Edition	ANU, Canberra
ISBN (Print)	0867402522
Publication status	Published - 2001
Event	Estimating Conditional Volatility Using Asymmetric Probability Density Functions - ANU, Canberra Duration: 1 Jan 2001 → …

Conference

Conference	Estimating Conditional Volatility Using Asymmetric Probability Density Functions
Period	1/01/01 → …

Cite this

Verhoeven, P. ; Mcaleer, Michael. / Estimating Conditional Volatility Using Asymmetric Probability Density Functions. Proceedings of the International Congress on Modelling & Simulation. editor / F. Ghessemi ; M. McAleer ; L. Oxley ; M. Scoccimarro. Vol. 3 ANU, Canberra. ed. Australian National University, Canberra : Modelling and Simulation Society of Australia and New Zealand Inc., 2001. pp. 1549-1556

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title = "Estimating Conditional Volatility Using Asymmetric Probability Density Functions",

author = "P. Verhoeven and Michael Mcaleer",

year = "2001",

language = "English",

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editor = "F. Ghessemi and M. McAleer and L. Oxley and M. Scoccimarro",

booktitle = "Proceedings of the International Congress on Modelling & Simulation",

publisher = "Modelling and Simulation Society of Australia and New Zealand Inc.",

edition = "ANU, Canberra",

note = "Estimating Conditional Volatility Using Asymmetric Probability Density Functions ; Conference date: 01-01-2001",

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Verhoeven, P & Mcaleer, M 2001, Estimating Conditional Volatility Using Asymmetric Probability Density Functions. in F Ghessemi, M McAleer, L Oxley & M Scoccimarro (eds), Proceedings of the International Congress on Modelling & Simulation. ANU, Canberra edn, vol. 3, Modelling and Simulation Society of Australia and New Zealand Inc., Australian National University, Canberra, pp. 1549-1556, Estimating Conditional Volatility Using Asymmetric Probability Density Functions, 1/01/01.

Estimating Conditional Volatility Using Asymmetric Probability Density Functions. / Verhoeven, P.; Mcaleer, Michael.
Proceedings of the International Congress on Modelling & Simulation. ed. / F. Ghessemi; M. McAleer; L. Oxley; M. Scoccimarro. Vol. 3 ANU, Canberra. ed. Australian National University, Canberra: Modelling and Simulation Society of Australia and New Zealand Inc., 2001. p. 1549-1556.

Research output: Chapter in Book/Conference paper › Conference paper › peer-review

TY - GEN

T1 - Estimating Conditional Volatility Using Asymmetric Probability Density Functions

AU - Verhoeven, P.

AU - Mcaleer, Michael

PY - 2001

Y1 - 2001

M3 - Conference paper

SN - 0867402522

VL - 3

SP - 1549

EP - 1556

BT - Proceedings of the International Congress on Modelling & Simulation

A2 - Ghessemi, F.

A2 - McAleer, M.

A2 - Oxley, L.

A2 - Scoccimarro, M.

PB - Modelling and Simulation Society of Australia and New Zealand Inc.

CY - Australian National University, Canberra

T2 - Estimating Conditional Volatility Using Asymmetric Probability Density Functions

Y2 - 1 January 2001

ER -

Verhoeven P, Mcaleer M. Estimating Conditional Volatility Using Asymmetric Probability Density Functions. In Ghessemi F, McAleer M, Oxley L, Scoccimarro M, editors, Proceedings of the International Congress on Modelling & Simulation. ANU, Canberra ed. Vol. 3. Australian National University, Canberra: Modelling and Simulation Society of Australia and New Zealand Inc. 2001. p. 1549-1556