Excess kurtosis of conditional distribution for daily stock returns: The case of Japan

Applied Economics Letters

Volumn 7, Issue 6, 2000, Pages 353-355

  Watanabe, Toshiaki ^a  

^a TOKYO METROPOLITAN UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0009460358     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/135048500351267     Document Type: Article

References (9)

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3. Bollerslev, T., Engle, R. F. and Nelson, D. B. (1994) ARCH models, in The Handbook of Econometrics, Volume 4 (Eds) R. F. Engle and D. B. McFadden, North Holland, Amsterdam, pp. 2959-3038.
4. Christie, A. A. (1982) The stochastic behavior of common stock variances: value, leverage and interest rate effects, Journal of Financial Economics, 10, 407-32.
5. Fama, E. F. (1965) The behavior of stock market prices, Journal of Business, 38, 34-105.
6. French, K. R. and Roll, R. (1986) Stock return variances: the arrival of information and the volatility, Journal of Financial Economics, 17, 5-26.
7. Mandelbrot, B. (1963) The variation of certain speculative prices, Journal of Business, 36, 394-419.
8. McDonald, J. B. and Newey, W. K. (1988) Partially adaptive estimation of regression models via the generalized t distribution, Econometric Theory, 4, 428-57.
9. Nelson, D. B. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70.