Kurtosis analysis in GARCH models with Gram–Charlier-like innovations
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DOI: 10.1016/j.econlet.2019.108552
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References listed on IDEAS
- Allen Fleishman, 1978. "A method for simulating non-normal distributions," Psychometrika, Springer;The Psychometric Society, vol. 43(4), pages 521-532, December.
- Bai, Xuezheng & Russell, Jeffrey R. & Tiao, George C., 2003. "Kurtosis of GARCH and stochastic volatility models with non-normal innovations," Journal of Econometrics, Elsevier, vol. 114(2), pages 349-360, June.
- Luca Bagnato & Valerio Potì & Maria Zoia, 2015. "The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns," Statistical Papers, Springer, vol. 56(4), pages 1205-1234, November.
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Cited by:
- Vacca, Gianmarco & Zoia, Maria Grazia & Bagnato, Luca, 2022. "Forecasting in GARCH models with polynomially modified innovations," International Journal of Forecasting, Elsevier, vol. 38(1), pages 117-141.
- Quatto, Piero & Vacca, Gianmarco & Zoia, Maria Grazia, 2021. "A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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More about this item
Keywords
Orthogonal polynomials; GARCH model; Gram–Charlier-like expansions; Kurtosis;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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