EGARCH models with fat tails, skewness and leverage

DOI10.1016/j.csda.2013.09.022zbMath1506.62076MaRDI QIDQ1623534

Y. Aharonov

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/245327

zbMATH Keywords

score; volatility; leverage; Student's \(t\); general error distribution; heteroskedasticity; two components

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F10: Point estimation

Uses Software

• betategarch