Gabrielsen, Alexandros; Zagaglia, Paolo; Kirchner, Axel; … - Rimini Centre for Economic Analysis (RCEA) - 2012
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density...