Volatility filtering in estimation of kurtosis (and variance)
The kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely. We propose a simple but effective procedure of estimating the kurtosis coefficient (and variance) based on volatility filtering that uses...
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| Format: | Article |
| Language: | English |
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De Gruyter
2019-02-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2019-0001 |