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Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis
10.1016/S0304-4076(01)00092-6
http://www.hec.unil.ch/ejondeau/Publications/cJE2002.pdf
Jondeau
E.
author
Rockinger
M.
author
article
2002-01
Journal of Econometrics
0304-4076
journal
106
1
119-142
Semi-nonparametric estimation
Time-varying skewness and kurtosis
GARCH
eng
60_published
peer-reviewed