Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions |
scientific article |
Statements
Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (English)
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11 September 2009
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EGARCH
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TGARCH
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leverage effect
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non-Gaussian distributions
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