Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis
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- Rockinger, Michael & Jondeau, Eric, 2002. "Entropy densities with an application to autoregressive conditional skewness and kurtosis," Journal of Econometrics, Elsevier, vol. 106(1), pages 119-142, January.
References listed on IDEAS
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More about this item
KeywordsSemi-nonparametric estimation ; Time-varying skewness and kurtosis ; GARCH.;
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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