The NIG-S& ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
| Year of publication: |
2001
|
|---|---|
| Authors: | Jensen, Morten B. ; Lunde, Asger |
| Published in: |
The econometrics journal. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1368-4221, ZDB-ID 14122650. - Vol. 4.2001, 2, p. 319
|