Analytical derivates of the APARCH model
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Publication:1768382
DOI10.1023/B:CSEM.0000038851.72226.76zbMath1056.62099MaRDI QIDQ1768382
Publication date: 15 March 2005
Published in: Computational Economics (Search for Journal in Brave)
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Testing conditional asymmetry: a residual-based approach ⋮ Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis ⋮ A Student-\(t\) full factor multivariate GARCH model ⋮ Tail behavior and dependence structure in the APARCH model ⋮ On valuing participating life insurance contracts with conditional heteroscedasticity ⋮ Efficient estimation of copula-GARCH models ⋮ Misspecification Testing for the Conditional Distribution Model in GARCH-Type Processes ⋮ Simulation and Estimation of the Meixner Distribution
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