Dependence between volatility persistence, kurtosis and degrees of freedom (Q3570258)
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scientific article; zbMATH DE number 5726479
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| default for all languages | No label defined |
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| English | Dependence between volatility persistence, kurtosis and degrees of freedom |
scientific article; zbMATH DE number 5726479 |
Statements
25 June 2010
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value-at-risk
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GARCH\((p,q)\)
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\(t\)-Student
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0.7937410473823547
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0.7931221127510071
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0.7798128128051758
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0.7792844176292419
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0.7756127119064331
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