Volatility modeling with leverage effect under Laplace errors (Q1695695)

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Volatility modeling with leverage effect under Laplace errors
scientific article

    Statements

    title
    Volatility modeling with leverage effect under Laplace errors (English)
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    author
    Zhengjun Jiang
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    Weixuan Xia
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    publication date
    7 February 2018
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    zbMATH Keywords
    GARCH-type models
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    volatility
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    financial returns
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    leverage effect
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    Laplace distribution
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    describes a project that uses
    FinTS
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    Mathematica
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91B70
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    zbMATH DE Number
    6835948
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    OpenAlex ID
    W2739086997
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