Modelling credit spreads with time volatility, skewness, and kurtosis (Q1615804)
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scientific article; zbMATH DE number 6969437
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| English | Modelling credit spreads with time volatility, skewness, and kurtosis |
scientific article; zbMATH DE number 6969437 |
Statements
Modelling credit spreads with time volatility, skewness, and kurtosis (English)
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31 October 2018
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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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0.7794348001480103
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0.7410132884979248
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0.7359771132469177
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0.7298209071159363
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0.7244899272918701
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