TY  - BOOK
AU  - Jensen,Morten B and Lunde, Asger
TI  - NIG-S&ARCH model: a fat-tailed stochastic and autoregressive conditional heteroskedastic volatility model
PY  - 2001///
KW  - Econometrics
KW  - Normal inverse gaussian distribution;Observation driven model;Nonlinear state space model;Filtering
ER  -