JOURNAL ARTICLE
Temporal Aggregation of GARCH Models: Conditional Kurtosis and Optimal Frequency
Year: 2008 Journal: SSRN Electronic Journal Publisher: RELX Group (Netherlands)
Keywords:
Kurtosis Autoregressive conditional heteroskedasticity Econometrics Economics Mathematics Computer science Statistics Volatility (finance)
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3
Cited By
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FWCI (Field Weighted Citation Impact)
21
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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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