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dc.contributor.authorLeón, Angel
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.contributor.authorSerna, Gregorio
dc.date.accessioned2012-02-06T14:57:03Z
dc.date.available2012-02-06T14:57:03Z
dc.date.issued2002
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6759
dc.description.abstractThis paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.es
dc.description.sponsorshipÁngel León and Gonzalo Rubio acknowledge the financial support provided by the Ministerio de Ciencia y Tecnología, grants BEC2002-03797 and BEC2001-0636 respectively, and also thank the Fundación BBVA research grant 1-BBVA 00044.321-15466/2002.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2002-03797
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2001-0636
dc.relation.ispartofseriesDFAEII 2002.06
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectconditional volatilityes
dc.subjectskewness and kurtosises
dc.subjectGram-Charlier series expansiones
dc.subjectstock indiceses
dc.titleAutorregresive conditional volatility, skewness and kurtosises
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG12
dc.subject.jelG13
dc.subject.jelC13
dc.subject.jelC14
dc.identifier.repecRePEc:ehu:dfaeii:200206es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaMATHEMATICAL AND QUANTITATIVE METHODS
dc.subject.categoriaFINANCIAL ECONOMICS


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported