Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distri\-bu\-tions |
scientific article; zbMATH DE number 5603223
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions |
scientific article; zbMATH DE number 5603223 |
Statements
Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (English)
0 references
11 September 2009
0 references
EGARCH
0 references
TGARCH
0 references
leverage effect
0 references
non-Gaussian distributions
0 references
0 references
0 references
0.86484903
0 references
0 references
0.8591769
0 references
0.85649395
0 references
0.8508624
0 references
0.8492654
0 references
0.84925956
0 references
