A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals
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Publication:3571963
DOI10.1016/S0731-9053(05)20004-XzbMath1190.62163OpenAlexW2505278438MaRDI QIDQ3571963
Publication date: 30 June 2010
Published in: Advances in Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20004-x
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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