Autoregressive conditional kurtosis

Journal of Financial Econometrics

Volumn 3, Issue 3, 2005, Pages 399-421

  Brooks, Chris ^a   Burke, Simon P ^b   Heravi, Saeed ^c   Persand, Gita ^d  

^a CITY UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF READING   (United Kingdom)

^c CARDIFF UNIVERSITY   (United Kingdom)

^d UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

Author keywords

Conditional kurtosis; Fat tails; Fourth moment; GARCH; Student's t distribution

Indexed keywords

EID: 27244435216     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi018     Document Type: Article

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