Browsing DFAEII by Author "Serna, Gregorio"
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Autorregresive conditional volatility, skewness and kurtosis
León, Angel; Rubio Irigoyen, Gonzalo; Serna, Gregorio (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ...