Fat tails and asymmetry in financial volatility models
Year of publication: |
2004
|
---|---|
Authors: | Verhoeven, Peter ; McAleer, Michael |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 64.2004, 3, p. 351-361
|
Publisher: |
Elsevier |
Subject: | Asymmetric volatility | Conditional non-normality | Skewness | Leptokurtosis | Outliers | Location parameter |
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