Title:Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
Author(s):HERACLEOUS, Maria S.Date:2007Type of Publication:Working PaperSeries/Report no.:EUI MWP; 2007/32Abstract:Econometric modeling based on the Student's t distribution introduces an additional
parameter -- the degree of freedom. In this paper we use a simulation study to
investigate the ability of (i) the GARCH-t model (Bollerslev, ...