Augoregressive Conditional Kurtosis
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- Chris Brooks, 2005. "Autoregressive Conditional Kurtosis," Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 399-421.
References listed on IDEAS
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More about this item
Keywords
conditional kurtosis; GARCH; fourth moment; fat trails; student's t distribution;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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