Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out …-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles …
