Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999
normality of the conditional distribution. We implement this methodology on a number of univariate financial time series. There … is strong evidence of (1) non-normal conditional distributions for most series, and (2) a leverage effect for stock … implications on decisions based upon prediction of volatility, especially when dealing with tail prediction as in risk management …