BL-GARCH models with elliptical distributed innovations
Diongue, Abdou Ka, Guegan, Dominique, & Wolff, Rodney (2010) BL-GARCH models with elliptical distributed innovations. Journal of Statistical Computation and Simulation, 80(7), pp. 775-791.
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| ID Code: | 43161 |
|---|---|
| Item Type: | Journal Article |
| Keywords: | BL-GARCH process; elliptical distribution; leverage effects; maximum likelihood; Monte Carlo method; volatility clustering |
| DOI: | 10.1080/00949650902773577 |
| ISSN: | 0094-9655 |
| Subjects: | Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) |
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology Past > Schools > Mathematical Sciences |
| Deposited On: | 13 Jul 2011 23:10 |
| Last Modified: | 03 Dec 2012 12:07 |
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