An analysis of the flexibility of asymmetric power GARCH models
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Publication:1010472
DOI10.1016/j.csda.2005.11.002zbMath1157.62485OpenAlexW2073857998MaRDI QIDQ1010472
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2005.11.002
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
Self-similarity in financial markets: a fractionally integrated approach ⋮ Asymmetric multivariate normal mixture GARCH ⋮ Saddlepoint approximations for the doubly noncentral \(t\) distribution
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