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BL-GARCH models with elliptical distributed innovations - MaRDI portal

BL-GARCH models with elliptical distributed innovations (Q3589975)

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BL-GARCH models with elliptical distributed innovations
scientific article

    Statements

    title
    BL-GARCH models with elliptical distributed innovations (English)
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    author
    Abdou Kâ Diongue
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    Dominique Guégan
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    Rodney Carl Wolff
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    publication date
    17 September 2010
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    zbMATH Keywords
    BL-GARCH process
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    elliptical distribution
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    leverage effects
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    maximum likelihood
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    Monte Carlo method
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    volatility clustering
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    Identifiers

    Mathematics Subject Classification ID
    91B84
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    37M10
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    65C05
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    82B80
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    zbMATH DE Number
    5786701
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    OpenAlex ID
    W2130667767
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