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~subject:"stationary marginal distribution"
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stationary marginal distribution
marginal distribution
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Sarmanov model
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Marsh, Terry A.
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Wagner, Niklas
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Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes
Wagner, Niklas
;
Marsh, Terry A.
-
Institute of Business and Economic Research (IBER), …
-
2003
properties of adaptive tail index estimators under the class of student-t
marginal
distribution
functions including GARCH and …
Persistent link: https://www.econbiz.de/10010537540
Saved in:
2
Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes
Wagner, Niklas
;
Marsh, Terry A.
-
EconWPA
-
2004
properties of adaptive tail index estimators under the class of student-t
marginal
distribution
functions including GARCH and …
Persistent link: https://www.econbiz.de/10005407899
Saved in:
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