EGARCH models with fat tails, skewness and leverage
type: Item
instance of: scholarly article
title: EGARCH models with fat tails, skewness and leverage
zbMATH Open document ID: 1506.62076
author: Y. Aharonov
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
full work available at URL: https://www.repository.cam.ac.uk/handle/1810/245327
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 6983982
zbMATH Keywords: general error distribution
zbMATH Keywords: heteroskedasticity
zbMATH Keywords: leverage
zbMATH Keywords: score
zbMATH Keywords: Student's \(t\)
zbMATH Keywords: two components
zbMATH Keywords: volatility
describes a project that uses: betategarch
MaRDI profile type: Publication
OpenAlex ID: W2204730588
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DOI: 10.1016/J.CSDA.2013.09.022
description: scientific article; zbMATH DE number 6983982