Empirical Performance of GARCH Models with Heavy-tailed Innovations
Year of publication: |
2017
|
---|---|
Authors: | Guo, Zi-Yi |
Publisher: |
Kiel und Hamburg : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft |
Subject: | Heavy-tailed distribution | GARCH model | Model comparison | Numerical solution |
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