Autoregressive Conditional Kurtosis

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QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009, unknown): “Since the seminal contributions by Engle (1982) and Bollerslev (1986), generalized autoregressive conditional heteroskedastic (GARCH) models have received considerable attention in the theoretical and empirical literature devoted to nancial and economic time series.”
A General Framework for Observation Driven Time-Varying Parameter Models (2008, unknown): “It is a notable result that the estimates of νt from our model shown in panel (iii) are significantly different than the implied estimates of νt from the tv-t-GARCH(1, 1) model of Brooks et al. (2005) in panel (iv).”
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “Others studies find evidence of time-varying skewness (Harvey and Siddique, 1999) and time-varying kurtosis (Jondeau and Rockinger, 2003; Brooks et al., 2005).”
Optimal predictions of powers of conditionally heteroscedastic processes (2013, background): “The conditional kurtosis, which is defined as the ratio of the fourth conditional moment over the squared volatility, has drawn attention in the finance literature (see for instance Brooks et al. (2005) and the references therein).”