The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Year of publication: |
2022
|
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Authors: | Dahl, Christian M. ; Iglesias, Emma M. |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 1, p. 139-159
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Subject: | AR-GARCH | double autoregressive model | GARCH-AR | risk premium | tail behavior | Risikoprämie | Risk premium | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Autokorrelation | Autocorrelation |
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