Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
DOI10.1007/s11071-007-9206-5zbMath1177.62124OpenAlexW2134029464MaRDI QIDQ840372
Gonçalo Nuno Tavares, José Dias Curto, António Bruno Tavares
Publication date: 11 September 2009
Published in: Nonlinear Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11071-007-9206-5
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
Related Items (2)
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