Pages that link to "Item:Q4549742"
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The following pages link to The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model (Q4549742):
Displaying 19 items.
- Option valuation with conditional skewness (Q292018) (← links)
- Practical implications of higher moments in risk management (Q413990) (← links)
- On the stationary version of the generalized hyperbolic ARCH model (Q995800) (← links)
- Unconditional and conditional distributional models for the Nikkei index (Q1000455) (← links)
- Fat tails and asymmetry in financial volatility models. (Q1427747) (← links)
- EGARCH models with fat tails, skewness and leverage (Q1623534) (← links)
- Tail behavior and dependence structure in the APARCH model (Q1695685) (← links)
- An empirical evaluation of fat-tailed distributions in modeling financial time series (Q2479445) (← links)
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach (Q2512745) (← links)
- A Markov-switching regression model with non-Gaussian innovations: estimation and testing (Q2691700) (← links)
- Models for stock returns (Q2873015) (← links)
- Volatility Modeling with a Generalized<i>t</i>Distribution (Q2968461) (← links)
- A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (Q3094327) (← links)
- Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model (Q3566440) (← links)
- Simulation and Estimation of the Meixner Distribution (Q3616251) (← links)
- Bayesian estimation of NIG models via Markov chain Monte Carlo methods (Q4676865) (← links)
- EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY‐TAILED INNOVATIONS (Q5213466) (← links)
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
- Semiparametric GARCH via Bayesian Model Averaging (Q6617768) (← links)
