@techreport{rockinger:hal-00601486, TITLE = {{Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence}}, AUTHOR = {Rockinger, Michael and Jondeau, Eric}, URL = {https://hec.hal.science/hal-00601486}, NOTE = {Cahier de Recherche du Groupe HEC Paris, n{\textdegree} 710}, YEAR = {2000}, MONTH = Jul, KEYWORDS = {Garch ; stock indices ; exchange rates ; interest rates ; SNOPT ; VaR}, HAL_ID = {hal-00601486}, HAL_VERSION = {v1}, }