NIG-S&ARCH model: a fat-tailed stochastic and autoregressive conditional heteroskedastic volatility model
Jensen,Morten B and Lunde, Asger
NIG-S&ARCH model: a fat-tailed stochastic and autoregressive conditional heteroskedastic volatility model J5708 2001 - 2001 - 319-342 V. 04 Issue. 2
Econometrics
Normal inverse gaussian distribution;Observation driven model;Nonlinear state space model;Filtering;
NIG-S&ARCH model: a fat-tailed stochastic and autoregressive conditional heteroskedastic volatility model J5708 2001 - 2001 - 319-342 V. 04 Issue. 2
Econometrics
Normal inverse gaussian distribution;Observation driven model;Nonlinear state space model;Filtering;