Modeling fat tails in stock returns: a multivariate stable-GARCH approach (Q2512745)
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scientific article; zbMATH DE number 6393413
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| English | Modeling fat tails in stock returns: a multivariate stable-GARCH approach |
scientific article; zbMATH DE number 6393413 |
Statements
Modeling fat tails in stock returns: a multivariate stable-GARCH approach (English)
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30 January 2015
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stable Paretian distributions
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Fourier transform
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value-at-risk
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high dimensional modeling
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0.8112378716468811
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0.8044092059135437
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0.7968894243240356
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0.7966240644454956
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