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

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Jondeau, Eric
Rockinger, Michael

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 27 (2003)
Issue (Month): 10 (August)
Pages: 1699-1737
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Handle: RePEc:eee:dyncon:v:27:y:2003:i:10:p:1699-1737

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  1. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," ECARES Working Papers 2008_009, Université Libre de Bruxelles, Ecares. [Downloadable!]
  2. Ahmed Shamiri & Abu Hassan, 2005. "Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities," Econometrics 0509015, EconWPA. [Downloadable!]
  3. DeRossi, G. & Harvey, A., 2007. "Quantiles, Expectiles and Splines," Cambridge Working Papers in Economics 0702, Faculty of Economics, University of Cambridge. [Downloadable!]
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  4. Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society. [Downloadable!]
  5. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
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  6. Brian M Lucey & Edel Tully & Valerio Poti, 2005. "International Portfolio Formation, Skewness & the Role of Gold," The Institute for International Integration Studies Discussion Paper Series iiisdp030, IIIS. [Downloadable!]
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  7. Serineh Najarian & H. L. Leon, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 03/159, International Monetary Fund. [Downloadable!]
  8. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge. [Downloadable!]
  9. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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  10. Shaun Bond & Stephen Satchell, 2006. "Asymmetry and downside risk in foreign exchange markets," European Journal of Finance, Taylor and Francis Journals, vol. 12(4), pages 313-332, June. [Downloadable!] (restricted)
  11. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889. [Downloadable!]
  12. Juan Carlos Escanciano, 2006. "Joint Diagnostic Tests for Conditional Mean and Variance Specifications," Faculty Working Papers 02/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  13. Anthony S. Tay & Aamir R. Hashmi, 2004. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings 634, Econometric Society. [Downloadable!]
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  14. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39. [Downloadable!]
  15. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Documents de Travail 188, Banque de France. [Downloadable!]
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