Modelling credit spreads with time volatility, skewness, and kurtosis (Q1615804): Difference between revisions

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-.1007/s10479-015-1975-5
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Are the GARCH models best in out-of-sample performance!
+Normal rank
@@ Property / DOI @@
+.1007/S10479-015-1975-5
@@ Property / DOI: 10.1007/S10479-015-1975-5 / rank @@
+Normal rank