Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue
Year of publication: |
2007
|
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Authors: | Heracleous, Maria S. |
Institutions: | Department of Economics, European University Institute |
Subject: | Student’s t distribution | Degree of freedom | Kurtosis coefficient | GARCH t model |
Series: | |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series European University Institute Working Papers Number ECO2007/60 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
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