Leverage effect for volatility with generalized Laplace error (Q1650531)
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scientific article; zbMATH DE number 6898443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Leverage effect for volatility with generalized Laplace error |
scientific article; zbMATH DE number 6898443 |
Statements
Leverage effect for volatility with generalized Laplace error (English)
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4 July 2018
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heavy tails
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volatility clustering
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generalized asymmetric Laplace distribution
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leverage effect
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conditional heteroskedasticity
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asymmetric power volatility
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GARCH models
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