BL-GARCH models with elliptical distributed innovations
| Data(s) |
2010
|
|---|---|
| Identificador | |
| Publicador |
Taylor and Francis Ltd. |
| Relação |
DOI:10.1080/00949650902773577 Diongue, Abdou Ka, Guegan, Dominique, & Wolff, Rodney (2010) BL-GARCH models with elliptical distributed innovations. Journal of Statistical Computation and Simulation, 80(7), pp. 775-791. |
| Fonte |
Faculty of Science and Technology; Mathematical Sciences |
| Palavras-Chave | #010400 STATISTICS #140200 APPLIED ECONOMICS #BL-GARCH process; elliptical distribution; leverage effects; maximum likelihood; Monte Carlo method; volatility clustering |
| Tipo |
Journal Article |
