Best fitting fat tail distribution for the volatilities of energy futures: Gev, gat and stable distributions in GARCH and APARCH models
Year of publication: |
2018
|
---|---|
Authors: | Gunay, Samet ; Khaki, Audil Rashid |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 11.2018, 2, p. 1-19
|
Publisher: |
Basel : MDPI |
Subject: | conditional dependence index | volatility modeling | APARCH | gev | gat | alpha-stable distribution |
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