Modelling credit spreads with time volatility, skewness, and kurtosis (Q1615804)

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Modelling credit spreads with time volatility, skewness, and kurtosis
scientific article

    Statements

    title
    Modelling credit spreads with time volatility, skewness, and kurtosis (English)
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    author
    Ephraim Clark
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    Selima Baccar
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    publication date
    31 October 2018
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    62P05
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    62M10
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    zbMATH DE Number
    6969437
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    Wikidata QID
    Q59409294
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