Jensen,Morten B and Lunde, Asger <br/><br/>
NIG-S&ARCH model: a fat-tailed stochastic and autoregressive conditional heteroskedastic volatility model 
 J5708  2001 

 -  2001 
 - 319-342  V.  04  Issue.   2 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Econometrics
<br/><br/><label>Subjects--Index Terms: </label>Normal inverse gaussian distribution;Observation driven model;Nonlinear state space model;Filtering;