An empirical evaluation of fat-tailed distributions in modeling financial time series
Year of publication: |
2008
|
---|---|
Authors: | So, Mike K.P. ; Chen, Cathy W.S. ; Lee, Jen-Yu ; Chang, Yi-Ping |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 77.2008, 1, p. 96-108
|
Publisher: |
Elsevier |
Subject: | Bayesian | GARCH models | Generalized error distribution | Reversible-jump |
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