Modelling credit spreads with time volatility, skewness, and kurtosis
type: Item
instance of: scholarly article
title: Modelling credit spreads with time volatility, skewness, and kurtosis
zbMATH Open document ID: 1416.91388
author: Ephraim Clark
author: Selima Baccar
published in: Annals of Operations Research
publication date: 2018-10-31T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6969437
zbMATH Keywords: credit spreads
zbMATH Keywords: asymmetric GARCH
zbMATH Keywords: skewness
zbMATH Keywords: kurtosis
zbMATH Keywords: Student-\(t\) distribution
Wikidata QID: Q59409294
MaRDI profile type: Publication
full work available at URL: s10479-015-1975-5
OpenAlex ID: W1818810405
cites work: The pricing of options and corporate liabilities
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cites work: Are the GARCH models best in out-of-sample performance!
DOI: 10.1007/S10479-015-1975-5
description: scientific article; zbMATH DE number 6969437