Kurtosis of GARCH and stochastic volatility models with non-normal innovations

Author:

Bai Xuezheng,Russell Jeffrey R.,Tiao George C.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference14 articles.

1. Bai, X., Russell, J.R., Tiao, G.C., 2001. Beyond Merton's utopia (i): effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data. Working Paper.

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

3. A conditionally heteroskedastic time-series models for security prices and rates of return data;Bollerslev;Review of Econometrics and Statistics,1987

4. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation;Engle;Econometrica,1982

5. Semiparametric ARCH models;Engle;Journal of Business and Economics Statistics,1991

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