Kurtosis of GARCH and stochastic volatility models with non-normal innovations
| Year of publication: |
2003
|
|---|---|
| Authors: | Bai, Xuezheng ; Russell, Jeffrey R. ; Tiao, George C. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 1848616. - Vol. 114.2003, 2, p. 349-360
|