This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by...

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.