Best fitting fat tail distribution for the volatilities of energy futures : gev, gat and stable distributions in GARCH and APARCH models
Year of publication: |
June 2018
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Authors: | Gunay, Samet ; Khaki, Audil Rashid |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 11.2018, 2, p. 1-19
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Subject: | conditional dependence index | volatility modeling | APARCH | gev | gat | alpha-stable distribution | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Welt | World | Theorie | Theory | Aktienindex | Stock index |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm11020030 [DOI] hdl:10419/238877 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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