Estimation of time varying skewness and kurtosis with an application to value at risk

Studies in Nonlinear Dynamics and Econometrics

Volumn 14, Issue 2, 2010, Pages

  Dark, Jonathan Graeme ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Asymmetries; Long memory; Time varying skewness and kurtosis

Indexed keywords

EID: 77950678226     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1720     Document Type: Article

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