Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Year of publication: |
2005
|
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Authors: | Haas, Markus ; Mittnik, Stefan ; Paolella, Marc S. |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | GARCH | hyperbolic distribution | kurtosis | Laplace distribution | mixture distributions | stock market returns |
Series: | CFS Working Paper ; 2005/11 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 515320544 [GVK] hdl:10419/25453 [Handle] RePEc:zbw:cfswop:200511 [RePEc] |
Classification: | C16 - Specific Distributions ; C50 - Econometric Modeling. General |
Source: |
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