BL-GARCH models with elliptical distributed innovations (Q3589975)
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scientific article; zbMATH DE number 5786701
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| English | BL-GARCH models with elliptical distributed innovations |
scientific article; zbMATH DE number 5786701 |
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BL-GARCH models with elliptical distributed innovations (English)
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17 September 2010
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BL-GARCH process
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elliptical distribution
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leverage effects
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maximum likelihood
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Monte Carlo method
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volatility clustering
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0.8799765
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0.8797767
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0.8638494
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0.8563292
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0.84953296
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0.8479582
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0.84658164
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