Leverage effect for volatility with generalized Laplace error

DOI10.1515/eqc-2014-0015zbMath1390.62178OpenAlexW2139983632MaRDI QIDQ1650531

Farrukh Javed, Krzysztof Podgórski

Publication date: 4 July 2018

Published in: Economic Quality Control (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-57932

zbMATH Keywords

conditional heteroskedasticityheavy tailsleverage effectGARCH modelsvolatility clusteringasymmetric power volatilitygeneralized asymmetric Laplace distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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