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~isPartOf:"Working papers / Department of Economics, University of Connecticut"
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The Great Moderation Flattens Fat Tails: Disappearing
Leptokurtosis
Fang, WenShwo
;
Miller, Stephen M.
;
Lee, ChunShen
-
Department of Economics, University of Connecticut
-
2008
Moderation. That is,
leptokurtosis
disappears after GARCH adjustment once we incorporate the break in the variance equation. …
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