Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions |
scientific article |
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
