Jondeau, Eric; Rockinger, Michael Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements. (English) Zbl 1178.91226 J. Econ. Dyn. Control 27, No. 10, 1699-1737 (2003). MSC: 91G70 62P05 90C20 PDFBibTeX XMLCite \textit{E. Jondeau} and \textit{M. Rockinger}, J. Econ. Dyn. Control 27, No. 10, 1699--1737 (2003; Zbl 1178.91226) Full Text: DOI
Rockinger, Michael; Jondeau, Eric Entropy densities with an application to autoregressive conditional skewness and kurtosis. (English) Zbl 1043.62110 J. Econom. 106, No. 1, 119-142 (2002). MSC: 62P20 62B10 62M10 PDFBibTeX XMLCite \textit{M. Rockinger} and \textit{E. Jondeau}, J. Econom. 106, No. 1, 119--142 (2002; Zbl 1043.62110) Full Text: DOI
Jondeau, E.; Rockinger, M. Gram-Charlier densities. (English) Zbl 1056.91512 J. Econ. Dyn. Control 25, No. 10, 1457-1483 (2001). MSC: 62P20 91B84 PDFBibTeX XMLCite \textit{E. Jondeau} and \textit{M. Rockinger}, J. Econ. Dyn. Control 25, No. 10, 1457--1483 (2001; Zbl 1056.91512) Full Text: DOI