%0 Journal Article
%T Modeling multivariate conditional variance skewness kurtosis<br>多维条件方差偏度峰度建模
%A WANG Chun-feng
%A ZHUANG Hong-gang
%A FANG Zhen-ming
%A LU Tao
%A <br>王春峰
%A 庄泓刚
%A 房振明
%A 卢涛
%J 系统工程理论与实践
%D 2010
%I 
%X Considering factors of anticipation and volatility,to measure the dynamic character of higher moments risk and investigate impacts of the risk on multi-financial markets or assets,a model of multivariate conditional higher order moments,which can solve the problem of 'dimension disaster',was proposed with the determination of the formulas between moments and co-moments.Time-varying parameters of higher order moments were estimated using Dynamic Conditional Correlation,Autoregressive conditional density and ...
%K higher order moments
%K S_U distribution
%K dynamic conditional correlation
%K autoregressive<br>高阶矩
%K SU分布
%K 动态条件相关性
%K 自回归条件密度
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=3FBEA858F46136880D1B48ACF5D710E5&yid=140ECF96957D60B2&vid=340AC2BF8E7AB4FD&iid=0B39A22176CE99FB&sid=90612DF06FCE4D55&eid=717CC18E05F2AFA0&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=12