Tail behavior and dependence structure in the APARCH model
Year of publication: |
Jul 2017
|
---|---|
Authors: | Javed, Farrukh ; Podgórski, Krzysztof |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 9.2017, 2, p. 1-48
|
Subject: | time series models | heavy tails | leverage effect | estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
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