GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
Year of publication: |
2012
|
---|---|
Authors: | Simonato, Jean-Guy |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 9.2012, 4, p. 213-219
|
Publisher: |
Elsevier |
Subject: | GARCH | Johnson distributions | Skewness | Kurtosis |
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