Data cloning estimation for asymmetric stochastic volatility models
DOI10.1080/07474938.2020.1770997zbMath1490.62315OpenAlexW2946092103MaRDI QIDQ5861027
Helena Veiga, P. de Zea Bermudes, J. Miguel Marín
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/28214
asymmetric volatilitydata cloningnon-Gaussian nonlinear time series modelsskewed and heavy-tailed distributions
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Uses Software
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