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EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY‐TAILED INNOVATIONS - MaRDI portal

EMPIRICAL PERFORMANCE OF GARCH MODELS WITH HEAVY‐TAILED INNOVATIONS

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Publication:5213466

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DOI10.1111/BOER.12186zbMath1435.62327OpenAlexW2905327241WikidataQ128719263 ScholiaQ128719263MaRDI QIDQ5213466

Publication date: 3 February 2020

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/boer.12186

zbMATH Keywords

heavy-tailed distribution numerical solution model comparison GARCH model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32)

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