The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
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Publication:4549742
DOI10.1111/1368-423X.00070zbMath1048.91065OpenAlexW2024726293MaRDI QIDQ4549742
Publication date: 31 October 2002
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1368-423x.00070
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