Tail behavior and dependence structure in the APARCH model
Farrukh Javed and Krzysztof Podgórski
| Year of publication: |
Jul 2017
|
|---|---|
| Authors: | Javed, Farrukh ; Podgórski, Krzysztof |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 9.2017, 2, p. 1-48
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| Subject: | time series models | heavy tails | leverage effect | estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/jtse-2016-0002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011701888