Tang, Ta-Lun; Shieh, Shwu-Jane - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 437-448
FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq … empirical results show that for the three stock index futures, the HYGARCH (1, d, 1) models with skewed Student-t distribution …