Kurtosis of GARCH and stochastic volatility models with non-normal innovations
type: Item
instance of: scholarly article
title: Kurtosis of GARCH and stochastic volatility models with non-normal innovations
zbMATH Open document ID: 1012.62109
DOI: 10.1016/S0304-4076(03)00088-5
author: Xuezheng Bai
author: Jeffrey R. Russell
author: George C. Tiao
published in: Journal of Econometrics
publication date: 2003-06-09T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1924790
zbMATH Keywords: GARCH
zbMATH Keywords: stochastic volatility
zbMATH Keywords: kurtosis
zbMATH Keywords: mixture normal distribution
MaRDI profile type: Publication
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cites work: Properties of moments of a family of GARCH processes
cites work: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
cites work: Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
description: scientific article; zbMATH DE number 1924790