Volatility regressions with fat tails
Year of publication: |
2020
|
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Authors: | Kim, Jihyun ; Meddahi, Nour |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 218.2020, 2, p. 690-713
|
Subject: | Autoregression | Volatility | Fat tails | Random limits | Volatilität | Statistische Verteilung | Statistical distribution | Regressionsanalyse | Regression analysis | Ausreißer | Outliers | Schätztheorie | Estimation theory |
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