Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements

Journal of Economic Dynamics and Control

Volumn 27, Issue 10, 2003, Pages 1699-1737

  Jondeau, Eric ^a   Rockinger, Michael ^a,b  

^a BANQUE DE FRANCE   (France)

^b HEC PARIS   (France)

Author keywords

Exchange rates; GARCH; Generalized Student t distribution; Kurtosis; Skewness; SNOPT; Stock indices; Volatility

Indexed keywords

EID: 0037411916     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00079-9     Document Type: Article

References (53)

1. Baker G.A.Jr. Graves-Morris P. Padé Approximants 1996 Cambridge University Press Cambridge.
2. Barone-Adesi G. Arbitrage equilibrium with skewed asset returns Journal of Financial and Quantitative Analysis 20 3 1985 299-313.
3. Bera A.K. Higgins M.L. ARCH models: properties, estimation and testing Journal of Economic Surveys 7 4 1993 305-362.
4. Black, F., 1976. Studies in stock price volatility changes. Proceedings of the 1976 Business Meeting of the Business and Economic Statistics Section. American Statistical Association.
5. Bollerslev T. Generalized autoregressive conditional heteroskedasticity Journal of Econometrics 31 3 1986 307-327.
6. Bollerslev T. Wooldridge J.M. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Econometric Reviews 11 2 1992 143-172.
7. Bollerslev T. Chou R.Y. Kroner K.F. ARCH modelling in finance: a review of the theory and empirical evidence Journal of Econometrics 52 1-2 1992 5-59.
8. Bollerslev, T., Engle, R.F., Nelson, D.B., 1994. ARCH models. In: Engle, R.F., McFadden, D.L. (Eds.), Handbook of Econometrics, Vol. IV. Elsevier Science, Amsterdam, pp. 2959-3038 (Chapter 49).
9. Campbell J.Y. Hentschel L. No news is goos news: an asymmetric model of changing volatility Journal of Financial Economics 31 3 1992 281-318.
10. Engle R.F. Auto-regressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation Econometrica 50 4 1982 987-1007.
11. Engle R.F. Gonzalez-Rivera G. Semi-parametric ARCH models Journal of Business and Economic Statistics 9 4 1991 345-359.
12. Fama E. Mandelbrot and the stable Paretian hypothesis Journal of Business 36 1963 420-429.
13. Fang H. Lai T.-Y. Co-kurtosis and capital asset pricing Financial Review 32 2 1997 293-307.
14. Friend I. Westerfield R. Co-skewness and capital asset pricing Journal of Finance 35 4 1980 897-913.
15. Gill, Ph.E., Murray, W., Saunders, M.A., 1997. SNOPT: an SQP algorithm of large-scale constrained optimization. Report NA 97-2, Department of Mathematics, University of California, San Diego.
16. Gill, Ph.E., Murray, W., Saunders, M.A., 1999. User's guide for SNOPT 5.3: a Fortran package for large-scale nonlinear programming. Working paper, Department of Mathematics, UCSD, California.
17. Glosten R.T. Jagannathan R. Runkle D. On the relation between the expected value and the volatility of the nominal excess return on stocks Journal of Finance 48 5 1993 1779-1801.
18. Gradshteyn I.S. Ryzhik I.M. Table of Integrals, Series, and Products 5th Edition 1994 Academic Press New York.
19. Hamao Y. Masulis R.W. Ng V. Correlations in price changes and volatility across international stock markets Review of Financial Studies 3 2 1990 281-307.
20. Hamburger H. Über eine Erweiterung des Stieltjesschen momentproblems Mathematische Zeitschrift 7 1920 235-319.
21. Hansen L.P. Large sample properties of generalized method of moments estimator Econometrica 50 4 1982 1029-1054.
22. Hansen B.E. Autoregressive conditional density estimation International Economic Review 35 3 1994 705-730.
23. Harvey C.R. Siddique A. Autoregressive conditional skewness Journal of Financial and Quantitative Analysis 34 4 1999 465-487.
24. Harvey C.R. Siddique A. Conditional skewness in asset pricing tests Journal of Finance 55 3 2000 1263-1295.
25. Hausdorff F. Summationsmethoden und momentfolgen, I Mathematische Zeitschrift 9 1921 74-109.
26. Hausdorff F. Summationsmethoden und momentfolgen, II Mathematische Zeitschrift 9 1921 280-299.
27. Hwang S. Satchell S.E. Modelling emerging market risk premia using higher moments Journal of Finance and Economics 4 4 1999 271-296.
28. Jorion Ph. Predicting volatility in the foreign exchange market Journal of Finance 50 2 1995 507-528.
29. Kan R. Zhou G. A critique of the stochastic discount factor methodology Journal of Finance 54 4 1999 1221-1248.
30. Korkie, B., Sivakumar, R., Turtle, H.J., 1997. Skewness persistence: it matters, just not how we thought. Working paper, Faculty of Business, University of Alberta, Canada.
31. Kraus A. Litzenberger R.H. Skewness preference and the valuation of risk assets Journal of Finance 31 4 1976 1085-1100.
32. Kroner K.F. Ng V.K. Modeling asymmetric comovements of asset returns Review of Financial Studies 11 4 1998 817-844.
33. Longin F. Solnik B. Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance 14 1 1995 3-26.
34. Loretan M. Phillips P.C.B. Testing covariance stationarity under moment condition failure with an application to common stock returns Journal of Empirical Finance 1 1994 211-248.
35. Mandelbrot B. The variation of certain speculative prices Journal of Business 35 1963 394-419.
36. Mood A.M. Graybill F.A. Boes D.C. Introduction to the Theory of Statistics 1982 McGraw-Hill New York.
37. Nelsen R.B. An Introduction to Copulas 1999 Springer, Berlin New York.
38. Nelson D.B. Conditional heteroskedasticity in asset returns: a new approach Econometrica 59 2 1991 370-397.
39. Newey W. Generalized method of moments specification testing Journal of Econometrics 29 1985 229-256.
40. Premaratne, G., Bera, A.K., 1999. Modeling asymmetry and excess kurtosis in stock return data. Working paper, Department of Economics, University of Illinois.
41. Ramchand L. Susmel R. Volatility and cross correlation across major stock markets Journal of Empirical Finance 5 4 1998 397-416.
42. Rockinger, M., Jondeau, E., 2001. Conditional dependency of financial series: an application of copulas. Working paper, Banque de France, NER#82.
43. Rockinger M. Jondeau E. Entropy densities with an application to autoregressive conditional skewness and kurtosis Journal of Econometrics 106 1 2002 119-142.
44. Rubinstein M.E. The fundamental theorem of parameter-preference security valuation Journal of Financial and Quantitative Analysis 8 1 1973 61-69.
45. Sears R.S. Wei K.C.J. Asset pricing, higher moments, and the market risk premium: a note Journal of Finance 40 4 1985 1251-1253.
46. Sears R.S. Wei K.C.J. The structure of skewness preferences in asset pricing models with higher moments: an empirical test Financial Review 23 1 1988 25-38.
47. Sentana E. Quadratic ARCH models Review of Economic Studies 62 4 1995 639-661.
48. Stieltjes T.J. Recherches sur les fractions continues Annales de la Faculté des Sciences de Toulouse 8 1 1894 1-22.
49. Susmel R. Engle R.F. Hourly volatility spillovers between international equity markets Journal of International Money and Finance 13 1 1994 3-25.
50. Tan K.-J. Risk return and the three-moment capital asset pricing model: another look Journal of Banking and Finance 15 2 1991 449-460.
51. White H. A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity Econometrica 48 4 1980 817-838.
52. Widder D.V. The Laplace Transform 1946 Princeton University Press Princeton, NJ.
53. Zakoïan J.M. Threshold heteroskedastic models Journal of Economic Dynamics and Control 18 5 1994 931-955.