Entropy densities with an application to autoregressive conditional skewness and kurtosis.
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Publication:1858911
DOI10.1016/S0304-4076(01)00092-6zbMath1043.62110OpenAlexW3122572058MaRDI QIDQ1858911
Michael Rockinger, Eric Jondeau
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00092-6
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)
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