Abstract: Autoregressive Conditional Kurtosis Get access Chris Brooks, Chris Brooks Cass Business School Address correspondence to Chris Brooks, Cass Business School, City of London, 106 Bunhill Row, London EC1Y 8TZ, UK, e-mail: [email protected]. Search for other works by this author on: Oxford Academic Google Scholar Simon P. Burke, Simon P. Burke University of Reading Search for other works by this author on: Oxford Academic Google Scholar Saeed Heravi, Saeed Heravi Cardiff Business School Search for other works by this author on: Oxford Academic Google Scholar Gita Persand Gita Persand University of Southampton Search for other works by this author on: Oxford Academic Google Scholar Journal of Financial Econometrics, Volume 3, Issue 3, Summer 2005, Pages 399–421, https://doi.org/10.1093/jjfinec/nbi018 Published: 01 July 2005