The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Table of Integrals, Series, and Products
(1980) · Elsevier eBooks · doi:10.1016/c2013-0-10754-4 · Cited by 18,782
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Table of Integrals, Series, and Products.
Kolbig, K. S., Gradshteyn, I. S., Ryzhik, I. M., Jeffrey, A., & Scripta Technica, I. (1995) · Mathematics of Computation · doi:10.2307/2153347 · Cited by 9,550
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Nelsen, R. B. (1999) · Lecture Notes in Statistics · doi:10.1007/978-1-4757-3076-0 · Cited by 7,744
The Variation of Certain Speculative Prices
Mandelbrot, B. (1963) · The Journal of Business · doi:10.1086/294632 · Cited by 4,747
Cited by
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
Creal, D., Koopman, S. J., & Lucas, A. (2013) · Journal of Applied Econometrics · doi:10.1002/jae.1279 · Cited by 981
The Copula-GARCH model of conditional dependencies: An international stock market application
Jondeau, E., & Rockinger, M. (2006) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2006.04.007 · Cited by 783
Self-citationOn the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
Patton, A. J. (2004) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbh006 · Cited by 666
Copula Methods for Forecasting Multivariate Time Series
Patton, A. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-62731-5.00016-6 · Cited by 320
Metadata
- Authors
- Jondeau, E., & Rockinger, M.
- Venue
- Journal of Economic Dynamics and Control
- Publisher
- Elsevier BV
- Published
- 2003-08
- Volume
- 27
- Issue
- 10
- Pages
- 1699-1737
- ISSN
- 0165-1889 (ISSN-L)
- OpenAlex
- W1985030584
- Cited by
- 558
- References
- 39
- FWCI
- 26.50
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements. https://app.cochat.ai/papers/10.1016/s0165-1889(02)00079-9
- The paper
- Jondeau, E., & Rockinger, M. (2003). Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements. Journal of Economic Dynamics and Control. https://doi.org/10.1016/s0165-1889(02)00079-9
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
