Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … empirical facts, we develop a new discrete time dynamic model of stock returns with Inverse Gaussian innovations. The model …