FUS Faculty Research

Business & Economics

One of the priorities of the Taylor Institute Switzerland is to promote research and innovation. The Taylor Institute, as an integral part of the Franklin University Switzerland, is also an outlet for the research produced by the Franklin University faculty and affiliated Scholars. The Taylor Institute at Franklin University Switzerland is compiling a database of research publications and make it accessible through their website.

Publication:

A Cumulant-based stock market volatility modeling – Evidence from the international stock markets

Author:

Sanja Dudukovic

Keywords:

Volatility modeling, GARCH model, ARMA-HOC model, Non Gaussian innovations, Higher Order Cumulant function, Swiss Market Index.

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