Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models
The paper aimed at modelling the density of inflation based on time-varying conditional variance, skewness and kurtosis model developed by Leon, Rubio, and Serna (2005) who model higher-order moments as GARCH-type processes by applying a Gram-Charlier series expansion of the normal density function....
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| Formato: | Artículo |
| Lenguaje: | spa |
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Universidad Autónoma de Nuevo León
2011
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| Acceso en línea: | https://ensayos.uanl.mx/index.php/ensayos/article/view/73 |