Karoglou, Michail - In: The European Journal of Finance 16 (2010) 1, pp. 79-95
of the joint existence of breaks and GARCH effects. It proposes a data-driven procedure to credibly identify the number … GARCH effects. However, the presence of structural changes is found to be the primary reason for the non-normality and not … the GARCH effects. Also, there is still some remaining excess kurtosis that is unlikely to be linked to the specification …