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 1935-3553Full text not available from this repository.
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.
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Rachel Wheelhouse|
|Date Deposited:||01 Nov 2012 16:12|
|Last Modified:||01 Nov 2012 16:12|
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