Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

By Eric Jondeau, Michael Rockinger. 2003

528 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ea4ae7576a2ed22d2fdbdbb7d97f49d170848544

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Citations in the corpus

Optimal Portfolio Allocation under Higher Moments (2006, methodology): “This may be done, for instance, in a GARCH framework, with a skewed Student-t distribution for innovations, such as the model proposed by Hansen (1994) and extended by Jondeau and Rockinger (2003a) for time-varying higher moments.”
A comprehensive review of Value at Risk methodologies (2014, methodology): “There is substantial empirical evidence that the standardised distribution of financial returns is not iid (see Hansen, 1994; Harvey and Siddique, 1999; Jondeau and Rockinger, 2003; Bali and Weinbaum, 2007; Brooks et al., 2005).”
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012, unknown): “Hansen (1994) develops a class of dynamic fat-tailed density models that has subsequently been generalized by Jondeau and Rockinger (2003).”
Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004, methodology): “…kurtosis of financial returns is not defined, could be a consequence of the rigidity of the GARCH model used to represent the dynamic evolution of volatility and not that the kurtosis of financial returns is not really defined [see, e.g., Jondeau and Rockinger (2003) and the references therein].”
Portfolio selection in multidimensional general and partial moment space (2010, background): “In particular, the distributional characteristics of a variety of financial and other economic variables (assets, options, hedge funds, etc.) indicate skewness and extreme kurtosis (see, e.g., Jondeau and Rockinger, 2003, or Kim and White, 2004).”
Value at Risk with time varying variance, skewness and kurtosis--the NIG-ACD model (2009, unknown): “the NIG distribution the results in Jondeau and Rockinger (2003) are used which show”
Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, unknown): “More recently, Jondeau and Rockinger (2001, 2002, 2003) proposed, respectively, Gram-Charlier, Entropy and Generalized Student-t densities, while, Leon, Mencia and Sentana (2005) proposed the semi-nonparametric distribution (SNP) introduced by Gallant and Nychka (1987).”
Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets (2009, background): “We specify that {εlt} follows a generalized Student-t-distribution with time-varying parameters (λlt , ηlt), where the dynamics of λlt and ηlt follow the specification of Jondeau and Rockinger (2003):  λlt = 1− exp(λ̃it) 1+ exp(λ̃it) ,”
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model (2009, unknown): “…in the Gaussian world, there are some well-known suggestions in the literature: the DCC of Engle (2002), the model of Tse & Tsui (2002), used by Jondeau & Rockinger (2003) for the Student t copula, and the SCC model of Palandri (2009), who applies a linear ARMA to the Fisher transforms of…”
Garch forecasting performance under different distribution assumptions (2006, unknown): “To standardize the residuals with the conditional skewness and kurtosis produced by the model, the moment results in Jondeau and Rockinger (2003) are used.”
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).”