VG NGARCH Versus GARJI Model for Asset Price Dynamics (Q5139498)
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scientific article; zbMATH DE number 7283282
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VG NGARCH Versus GARJI Model for Asset Price Dynamics |
scientific article; zbMATH DE number 7283282 |
Statements
VG NGARCH Versus GARJI Model for Asset Price Dynamics (English)
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9 December 2020
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VG NGARCH model
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variance-gamma process
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shape parameter
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GARCH-jump
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GARJI model
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goodness of fit
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\textit{ex ante} probability
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