Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions (Q840372)
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scientific article; zbMATH DE number 5603223
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| 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)
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11 September 2009
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EGARCH
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TGARCH
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leverage effect
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non-Gaussian distributions
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0.86484903
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0.8591769
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0.85649395
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0.8508624
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0.8492654
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0.84925956
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