Modelling conditional heteroskedasticity and skewness using the skew-normal distribution
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Bibliographic InfoArticle provided by Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome in its journal Metron.
Volume (Year): LXVIII (2010)
Issue (Month): 3 ()
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- Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
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