Volatility modeling with leverage effect under laplace errors
Zhengjun Jiang, Weixuan Xia
| Year of publication: |
Jan 2018
|
|---|---|
| Authors: | Jiang, Zhengjun ; Xia, Weixuan |
| Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 10.2018, 1, p. 1-28
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| Subject: | GARCH-type models | volatility | financial returns | leverage effect | Laplace distribution | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Theorie | Theory | Finanzmarkt | Financial market | Kapitalstruktur | Capital structure | 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-2016-0019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011817685