Autoregresive conditional volatility, skewness and kurtosis

By Á. León, Gonzalo Rubio, G. Serna. 2005

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A comprehensive review of Value at Risk methodologies (2014, methodology): “8 Although in different contexts, approximating the distribution of asset returns via the GCE has been previously employed in the literature (e.g., Jarrow and Rudd, 1982; Baillie and Bollerslev, 1992; Jondeau and Rockinger, 2001; Leon et al., 2005; Christoffersen and Diebold, 2006).”
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS (2009, unknown): “…kurtosis in economic and financial time series; see, e.g., Gallant, Hsieh, and Tauchen (1991), Hansen (1994), Harvey and Siddique (1999, 2000), Premaratne and Bera (2001), Jondeau and Rockinger (2003), Leon, Rubio, and Serna (2005), and Brooks, Burke, Heravi, and Persand (2005), among many others.”
Investors’ Risk Preference Characteristics and Conditional Skewness (2014, methodology): “[45] made some modification to g(η t | Ω t−1 ) with the method put forward by Gallant and got the following conditional density function:”
Multivariate Gram-Charlier Densities (2008, background): “More recently, León et al. (2005) proposed some variations to the conditional variance and kurtosis model defined by Harvey and Siddique (1999) in an attempt to ensure positive definiteness.”