User's Guide

Détails

ID Serval
serval:BIB_9B2847EF9386
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
User's Guide
Périodique
Journal of Economic Dynamics and Control
Auteur(s)
Jondeau E., Rockinger M.
ISSN
0165-1889
Statut éditorial
Publié
Date de publication
2003
Peer-reviewed
Oui
Volume
27
Numéro
10
Pages
1739-1742
Langue
anglais
Résumé
In this short note, we describe the specifications for some of the programs that were used to estimate the models used in the paper "Conditional Volatility, Skewness and Kurtosis: Existence, Persistence, and Comovements" by Jondeau and Rockinger (2003). The programs described in this note are public and may be obtained from the www (http://www.fame.ch/research/papers/OccPapers/Rockinger.htm) or by sending an e-mail (MR@fame.ch) to the authors.
Mots-clé
Volatility, Skewness, Kurtosis, Generalized Student-t distribution, GARCH, Stock indices, Exchange rates, SNOPT
Création de la notice
19/11/2007 11:42
Dernière modification de la notice
20/08/2019 16:02
Données d'usage