JOURNAL ARTICLE

Temporal Aggregation of GARCH Models: Conditional Kurtosis and Optimal Frequency

Thomas BreuerMartin Jandačka

Year: 2008 Journal:   SSRN Electronic Journal   Publisher: RELX Group (Netherlands)
Keywords:
Kurtosis Autoregressive conditional heteroskedasticity Econometrics Economics Mathematics Computer science Statistics Volatility (finance)

Metrics

3
Cited By
0.00
FWCI (Field Weighted Citation Impact)
21
Refs
Citation Normalized Percentile
Is in top 1%
Is in top 10%

Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Stochastic processes and financial applications
Social Sciences →  Economics, Econometrics and Finance →  Finance
Monetary Policy and Economic Impact
Social Sciences →  Economics, Econometrics and Finance →  General Economics, Econometrics and Finance

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