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On more robust estimation of skewness and kurtosis

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Author Info
Kim, Tae-Hwan
White, Halbert

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File URL: http://www.sciencedirect.com/science/article/B7CPP-4BVHDHM-6/2/c06d9195c07124ee382bd011a4ef0dc9
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Article provided by Elsevier in its journal Finance Research Letters.

Volume (Year): 1 (2004)
Issue (Month): 1 (March)
Pages: 56-73
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Handle: RePEc:eee:finlet:v:1:y:2004:i:1:p:56-73

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  2. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, School of Economics and Management, University of Aarhus. [Downloadable!]
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  3. Alberto Mora-Galan & Ana Perez & Esther Ruiz, 2004. "Stochastic Volatility Models And The Taylor Effect," Statistics and Econometrics Working Papers ws046315, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  4. Jim Dolmas, 2005. "Trimmed mean PCE inflation," Working Papers 05-06, Federal Reserve Bank of Dallas. [Downloadable!]
  5. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," Working Paper Series in Economics and Finance 691, Stockholm School of Economics. [Downloadable!]
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  6. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
  7. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management. [Downloadable!]
  8. Harvey, A., 2008. "Dynamic distributions and changing copulas," Cambridge Working Papers in Economics 0839, Faculty of Economics, University of Cambridge. [Downloadable!]
  9. Teräsvirta, Timo, 2006. "An introduction to univariate GARCH models," Working Paper Series in Economics and Finance 646, Stockholm School of Economics. [Downloadable!]
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