Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
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Publication:5881616
DOI10.2202/1558-3708.1820zbMath1506.62422OpenAlexW3123360293MaRDI QIDQ5881616
Publication date: 13 March 2023
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1820
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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