Article: article from journal or magazin.
Journal of Economic Dynamics and Control
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.
Volatility, Skewness, Kurtosis, Generalized Student-t distribution, GARCH, Stock indices, Exchange rates, SNOPT
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