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    Statements

    author
    Ngai Hang Chan
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    Mao-Zai Tian
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    publication date
    13 August 2010
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    zbMATH Keywords
    GARCH models
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    generalized hyperbolic distribution
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    heteroscedasticity
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    quasi-residuals
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    saddle point approximations
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    volatility estimate and value-at-risk
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M10
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    91G70
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    zbMATH DE Number
    5769965
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