Modeling stock markets' volatility using GARCH models with normal, Student's \(t\) and stable Paretian distributions
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Publication:840975
DOI10.1007/s00362-007-0080-5zbMath1312.91094WikidataQ126211625 ScholiaQ126211625MaRDI QIDQ840975
José Dias Curto, Gonçalo Nuno Tavares, José Castro Pinto
Publication date: 14 September 2009
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-007-0080-5
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91B84: Economic time series analysis
Related Items
Specification tests for the error distribution in GARCH models, Recursive computation of piecewise constant volatilities, Estimating the Population Coefficient of Variation by Confidence Intervals
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