BL-GARCH models with elliptical distributed innovations
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Publication:3589975
DOI10.1080/00949650902773577zbMath1200.91256MaRDI QIDQ3589975
Abdou Kâ Diongue, Dominique Guégan, Rodney Carl Wolff
Publication date: 17 September 2010
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00368340/file/diongue_guegan_wolff_sma2009.pdf
Monte Carlo method; maximum likelihood; elliptical distribution; volatility clustering; leverage effects; BL-GARCH process
65C05: Monte Carlo methods
91B84: Economic time series analysis
37M10: Time series analysis of dynamical systems
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