Níguez, T. M., Perote, J. and Rubia, A. (2010) Forecasting the unconditional and conditional kurtosis of the asset returns distribution. In: 30th International Symposium on Forecasting, June 20-23 2010, San Diego, CA, USA.Full text not available from this repository.
This paper analyzes the out-of-sample ability of di¤erent parametric and semi- parametric GARCH-type models to forecast the conditional variance and the condi- tional and unconditional kurtosis of three types of financial assets (stock index, ex- change rate and Treasury Note). For this purpose, we consider the Gaussian and Student-t GARCH models by Bollerslev (1986, 1987), and two di¤erent time-varying conditional kurtosis GARCH models based on the Student-t and a transformed Gram-Charlier density.
|Item Type:||Conference or Workshop Item (Paper)|
|Subjects:||University of Westminster > Westminster Business School|
|Date Deposited:||02 Nov 2012 16:49|
|Last Modified:||18 Mar 2016 16:27|
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