Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

DOI10.1016/S0165-1889(02)00079-9zbMath1178.91226OpenAlexW1985030584MaRDI QIDQ951384

Michael Rockinger, Eric Jondeau

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00079-9

zbMATH Keywords

kurtosisGARCHskewnessexchange ratesvolatilitygeneralized Student-\(t\) distributionSNOPTstock indices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Quadratic programming (90C20)

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Uses Software

• SNOPT

Cites Work

• Unnamed Item
• Unnamed Item
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• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Autoregressive Conditional Density Estimation
• Quadratic ARCH Models
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
• What is the Laplace Transform?
• Threshold heteroskedastic models

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