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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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  • 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.
  • Handle: RePEc:eee:dyncon:v:27:y:2003:i:10:p:1699-1737
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