Mixed Exponential Power Asymmetric Conditional Heteroskedasticity

DOI10.2202/1558-3708.1645zbMath1193.91180OpenAlexW1729963006MaRDI 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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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