EGARCH models with fat tails, skewness and leverage

Computational Statistics & Data Analysis 2014 / 08 Vol. 76

EGARCH models with fat tails, skewness and leverage

Harvey, Andrew, Sucarrat, Genaro
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Volume:
76
Language:
english
Journal:
Computational Statistics & Data Analysis
DOI:
10.1016/j.csda.2013.09.022
Date:
August, 2014
File:
PDF, 526 KB
english, 2014
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