مرکز منطقه ای اطلاع رساني علوم و فناوري - Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

Title of article :

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

Author/Authors :

Eric Jondeau، نويسنده , , Michael Rockinger، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2003

Pages :

From page :

1699

To page :

1737

Keywords :

skewness , Volatility , Kurtosis , Generalized Student-t distribution , Stock indices , Exchange rates , SNOPT , GARCH

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2003

Journal title :

Journal of Economic Dynamics and Control

Record number :

238446

Link To Document :