Volatility Components, Affine Restrictions, and Nonnormal Innovations
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Publication:3063001
DOI10.1198/JBES.2009.06122zbMath1202.91345OpenAlexW3020943043MaRDI QIDQ3063001
Yintian Wang, Christian Dorion, Kris Jacobs, Peter Christoffersen
Publication date: 30 December 2010
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2009.06122
normalitylong memoryaffinevolatilityoption valuationcomponent modelgeneralized autoregressive conditional heteroscedasticity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
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