BL-GARCH model with elliptical distributed innovations
Year of publication: |
2010-07
|
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Authors: | Diongue, Abdou Kâ ; Guegan, Dominique ; Wolff, Rodney C. |
Institutions: | HAL |
Subject: | BL-GARCH process | elliptical distribution | leverage effects | Maximum Likelihood | Monte Carlo method | volatility clustering |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00368340 Published, Journal of Statistical Computation and Simulation, 2010, 80, 7, 775-791 |
Source: |
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