Menn, Christian; Rachev, Svetlozar - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 411-438
Although asset return distributions are known to be conditionally leptokurtic, this fact has rarely been addressed in the recent GARCH model literature. For this reason, we introduce the class of smoothly truncated stable distributions (STS distributions) and derive a generalized GARCH option...
