Conditional volatility, skewness, and ku
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Eric Jondeau; Michael Rockinger
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Article
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2003
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Elsevier Science
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English
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Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of returns. These characteristics are captured by the skewness and the kurtosis. We characterize the maximal range of skewness and kurtosis for which