Wydział Nauk Ekonomicznych i Zarządzania / Faculty of Economic Sciences and Management Przeglądanie wg słów kluczowych "sign-switching GARCH models / Kurtoza"

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The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes

Górka, Joanna (2012-12-10)

In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the ...