ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails
Year of publication: |
2010-06
|
---|---|
Authors: | PAOLELLA, Marc S. |
Subject: | Asymmetry | Copula | Density Forecasting | Empirical Finance | Fat Tails | GARCH | Integrated GARCH | Multivariate Distribution | Saddlepoint Approximation | Shrinkage Estimation | Weighted Likelihood |
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