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

Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of returns. These characteristics are captured by the skewness and the kurtosis. We characterize the maximal range of skewness and kurtosis for which...

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Veröffentlicht in:	Journal of economic dynamics & control 2003-08, Vol.27 (10), p.1699-1737
Hauptverfasser:	Jondeau, Eric, Rockinger, Michael
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer programmes Economic models Exchange rates Financial economics Foreign exchange rates GARCH Generalized Student-t distribution Kurtosis Mathematical economics Quadratic programming Rates of return Regression analysis Securities markets Simulation Skewness SNOPT Statistical analysis Stock exchange Stock indices Studies Volatility
Online-Zugang:	Volltext
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