Modelling credit spreads with time volatility, skewness, and kurtosis (Q1615804): Difference between revisions
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| Property / DOI: 10.1007/s10479-015-1975-5 / rank | |||
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| Property / full work available at URL: https://doi.org/10.1007/s10479-015-1975-5 / rank | |||
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| Property / OpenAlex ID: W1818810405 / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank | |||
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| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
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| Property / cites work: Are the GARCH models best in out-of-sample performance! / rank | |||
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| Property / DOI: 10.1007/S10479-015-1975-5 / rank | |||
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Latest revision as of 22:43, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling credit spreads with time volatility, skewness, and kurtosis |
scientific article |
Statements
Modelling credit spreads with time volatility, skewness, and kurtosis (English)
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31 October 2018
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credit spreads
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asymmetric GARCH
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skewness
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kurtosis
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Student-\(t\) distribution
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