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

@@ Property / DOI @@
-.1007/s10479-015-1975-5
@@ Property / DOI: 10.1007/s10479-015-1975-5 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10479-015-1975-5
+Normal rank
@@ Property / OpenAlex ID @@
+W1818810405
@@ Property / OpenAlex ID: W1818810405 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ 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