León, Angel; Serna, Gregorio; Rubio Irigoyen, Gonzalo - Departamento de Fundamentos del Análisis Económico … - 2002
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is …-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this … conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform …