Níguez, Trino Manuel and Perote, Javier and Rubia, Antonio (2009) Are the high-order moments of the assets returns distribution forecastable? Journal of Current Issues in Finance, Business and Economics, 2 (4). pp. 383-401. ISSN 1935-3553
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This paper analyzes the out-of-sample ability of different parametric and semiparametric GARCH-type models to forecast the conditional variance and the conditional and unconditional kurtosis of three types of financial assets (stock index, exchange rate and Treasury Note). For this purpose, we consider the Gaussian and Student-t GARCH models by Bollerslev (1986, 1987), and two different time-varying conditional kurtosis GARCH models based on the Student-t and a transformed Gram- Charlier density.
|Research Community:||University of Westminster > Westminster Business School|
|Deposited On:||01 Nov 2012 16:12|
|Last Modified:||01 Nov 2012 16:12|
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