GARCH models, tail indexes and error distributions : an empirical investigation
Roman Horváth, Boril Šopov
| Year of publication: |
July 2016
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| Authors: | Horváth, Roman ; Šopov, Boril |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 37.2016, p. 1-15
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| Subject: | GARCH | Extreme events | S&P 500 study | Tail index | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory | Börsenkurs | Share price | Ausreißer | Outliers | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2016.03.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672845