Risks and Non-Linear Dynamics
Author:
Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-030-02680-6_7
Reference93 articles.
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3. Arvanitis, Stelios, and Antonis Demos. 2004. “Time dependence and moments of a family of time-varying parameter GARCH in mean models”. Journal of Time Series Analysis 25, no. 1: 1–25.
4. Badescu, Alexandru et al. 2011. “A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions”. International Journal of Theoretical and Applied Finance 14, no. 05: 669–708.
5. Baillie, R.T., and T. Bollerslev 1992. “Prediction in dynamic models with time dependent conditional variances”. Journal of Econometrics 52, no.1–2: 91–113.
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