Mixed Exponential Power Asymmetric Conditional Heteroskedasticity

DOI10.2202/1558-3708.1645zbMath1193.91180MaRDI QIDQ3574747

Mohammed Bouaddi, Jeroen V. K. Rombouts

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.hec.ca/iea/cahiers/2007/iea0715_jrombouts.pdf

Mathematics Subject Classification ID

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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