User's guide
Eric Jondeau and Michael Rockinger*
Journal of Economic Dynamics and Control, 2003, 27, 1739-1742.
Abstract
In this short note, we describe the specifications for some of the programs
that were used to estimate the models used in the paper "Conditional Volatility,
Skewness and Kurtosis: Existence, Persistence, and Comovements" by Jondeau
and Rockinger (2003). The programs described in this note are public and may
be obtained from the www (http://www.fame.ch/research/papers/OccPapers/Rockinger.htm)
or by sending an e-mail (MR@fame.ch) to the authors.
Keywords: Volatility, Skewness, Kurtosis, Generalized Student-t distribution,
GARCH, Stock indices, Exchange rates, SNOPT.
JEL classification: C22, C51, G12.
* HEC Lausanne