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Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111

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Šopov, Boril; Horváth, Roman - 2015

underestimate the tail risk. By contrast, the GARCH models with Student's t conditional distributions capture the tail shape more …

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Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15

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Kolliopoulos, Nikolaos - 2018

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Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711

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Serrano Bautista, Ramona; Mata Mata, Leovardo - In: EconoQuantum : Revista de Economía y Negocios 17 (2020) 2, pp. 81-98

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Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180

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