GARCHSK

MaRDI QIDQ123512CRANFDO

Authors Kei Nakagawa

Last update 22 July 2021

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.1.0

Cites work

• Autoregresive conditional volatility, skewness and kurtosis
• GO-GJRSK Model with Application to Higher Order Risk-Based Portfolio

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