The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Year of publication: |
2001
|
---|---|
Authors: | JENSEN, MORTEN B. ; LUNDE, ASGER |
Published in: |
Econometrics Journal. - Royal Economic Society - RES. - Vol. 4.2001, 2, p. 10-10
|
Publisher: |
Royal Economic Society - RES |
Subject: | Normal Inverse Gaussian distribution | Observation driven model | Nonlinear state space model | Filtering |
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