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Paper provided by Banque de France in its series Documents de Travail with number 79.

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Length: 27 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:bfr:banfra:79

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Keywords: Semi-nonparametric estimation ; Time-varying skewness and kurtosis ; GARCH.;

Find related papers by JEL classification:
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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1. Jondeau, Eric & Rockinger, Michael, 2001. "Gram-Charlier densities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1457-1483, October. [Downloadable!] (restricted)
2. Zellner, Arnold & Highfield, Richard A., 1988. "Calculation of maximum entropy distributions and approximation of marginalposterior distributions," Journal of Econometrics, Elsevier, vol. 37(2), pages 195-209, February. [Downloadable!] (restricted)
3. Higgins, Matthew L & Bera, Anil K, 1992. "A Class of Nonlinear ARCH Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-58, February. [Downloadable!] (restricted)
   Other versions:
   • Matthew L. Higgins & Anil K. Bera, 1990. "A Class of Nonlinear Arch Models," University of California at San Diego, Economics Working Paper Series 90-40, Department of Economics, UC San Diego.
4. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August. [Downloadable!] (restricted)
   Other versions:
   • Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
5. Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December. [Downloadable!]
6. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September. [Downloadable!] (restricted)
7. Richardson, Matthew & Smith, Tom, 1993. "A Test for Multivariate Normality in Stock Returns," Journal of Business, University of Chicago Press, vol. 66(2), pages 295-321, April. [Downloadable!] (restricted)
8. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August. [Downloadable!] (restricted)
9. Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 143-159, March. [Downloadable!]
10. Stutzer, Michael, 1996. " A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, vol. 51(5), pages 1633-52, December. [Downloadable!] (restricted)
11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
12. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
    Other versions:
    • Robert F. Engle & Gloria Gonzalez-Rivera, 1990. "Semiparametric Arch Models," University of California at San Diego, Economics Working Paper Series 89-17r, Department of Economics, UC San Diego.

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