Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
type: Item
instance of: scholarly article
title: Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
zbMATH Open document ID: 1177.62124
author: António Bruno Tavares
author: José Dias Curto
author: G. Tavares
published in: Nonlinear Dynamics
publication date: 2009-09-11T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G30
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5603223
zbMATH Keywords: EGARCH
zbMATH Keywords: TGARCH
zbMATH Keywords: leverage effect
zbMATH Keywords: non-Gaussian distributions
MaRDI profile type: Publication
full work available at URL: s11071-007-9206-5
OpenAlex ID: W2134029464
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DOI: 10.1007/S11071-007-9206-5
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description: scientific article; zbMATH DE number 5603223