Journal of Statistical and Econometric Methods

Revisiting the Kurtosis of Stationary Processes with Applications to Volatility Models

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  • Abstract 

    This paper establishes a number of new results on kurtosis of stationary processes as they play important roles in modelling and applications in financial time series. Some examples from ARCH and GARCH models are added to illustrate the usefulness and applicability of these newresults.

    JELClassification Numbers: C18, C49, C58, C59.
    AMS Subject Classification: Primary 62M10; Secondary 60G10, 91B84.
    Keywords: Time series, Autoregression, Serial Correlation, Kurtosis,Moments, ARCH, GARCH, Stationarity, ARMA, Volatility, Heteroscedasticity.