Autorregresive conditional volatility, skewness and kurtosis
Year of publication: |
2002
|
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Authors: | León, Angel ; Serna, Gregorio ; Rubio Irigoyen, Gonzalo |
Institutions: | Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales |
Subject: | skewness and kurtosis | conditional volatility | Gram-Charlier series expansion | stock indices |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series DFAEII 2002.06 Number 2002-06 |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing |
Source: |
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