A simulation study on the distributions of disturbances in the GARCH model
Year of publication: |
2017
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Authors: | Feng, Lingbing ; Shi, Yanlin |
Published in: |
Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 5.2017, 1, p. 1-19
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Subject: | GARCH model | disturbances | fat-tailed distribution | tempered stable distribution | Statistische Verteilung | Statistical distribution | Theorie | Theory | ARCH-Modell | ARCH model | Simulation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1080/23322039.2017.1355503 [DOI] hdl:10419/194704 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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