Autoregressive Conditional Volatility, Skewness And Kurtosis
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- Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series 479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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More about this item
KeywordsConditional volatility; skewness and kurtosis; Gram-Charlier series expansion; Stock indices.;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-19 (All new papers)
- NEP-ETS-2006-02-19 (Econometric Time Series)
- NEP-FIN-2006-02-19 (Finance)
- NEP-FMK-2006-02-19 (Financial Markets)
- NEP-IFN-2006-02-19 (International Finance)
- NEP-RMG-2006-02-19 (Risk Management)
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