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Fang, WenShwo
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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. …
Persistent link: https://www.econbiz.de/10005800219
Saved in:
2
The Great Moderation Flattens Fat Tails: Disappearing
Leptokurtosis
Fang, WenShwo
;
Miller, Stephen M.
;
Lee, ChunShen
-
Department of Economics, University of Nevada-Las Vegas
-
2009
finding of fat tails may reflect the Great Moderation. That is,
leptokurtosis
disappears after GARCH adjustment once we …
Persistent link: https://www.econbiz.de/10005650181
Saved in:
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