Tail behavior and dependence structure in the APARCH model
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Cites work
- Analytical derivates of the APARCH model
- Arch model with Box-Cox transformed dependent variable
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
- Contemporaneous asymmetry in GARCH processes
- EGARCH models with fat tails, skewness and leverage
- Fat tails and asymmetry in financial volatility models.
- Financial modeling under non-Gaussian distributions.
- Generalized autoregressive conditional heteroscedasticity
- Implied volatility and skewness surface
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Leverage effect for volatility with generalized Laplace error
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
- The efficiency of the estimators of the parameters in GARCH processes.
- The estimation of leverage effect with high-frequency data
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