Similar Search Results

Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements

Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737

Persistent link: https://www.econbiz.de/10001755410

Option-based tests of interest rate diffusion functions

Rosenberg, Joshua V. - 1999

Persistent link: https://www.econbiz.de/10001447927

Conditional volatility, skewness and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001526562

Conditional volatility, skewness, and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001534321

Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence

Jondeau, Eric - 2010

findings from extreme value theory. Kurtosis exists on fewer dates and for fewer series. There is little evidence at the weekly … surprise and that there is a certain persistence in moments beyond volatility. For exchange-rate and stock-market data cross …-sectionally and at daily frequency we also document co-variability of moments beyond volatility …

Persistent link: https://www.econbiz.de/10013134839