Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions
Minxian Yang
| Year of publication: |
2011
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|---|---|
| Authors: | Yang, Minxian |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 15.2011, 3, p. 1-19
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| Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Risikoprämie | Risk premium | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | 10.2202/1558-3708.1820 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009521860