Author:
Broda Simon A.,Haas Markus,Krause Jochen,Paolella Marc S.,Steude Sven C.
Subject
Applied Mathematics,Economics and Econometrics
Reference65 articles.
1. Discussion: heavy tail modeling and teletraffic data;Adler;The Annals of Statistics,1997
2. Normal mixture GARCH(1, 1): applications to exchange rate modelling;Alexander;Journal of Applied Econometrics,2006
3. Modelling regime-specific stock price volatility;Alexander;Oxford Bulletin of Economics and Statistics,2009
4. Bayesian estimation of the Gaussian mixture GARCH model;Ausín;Computational Statistics & Data Analysis,2007
5. Kurtosis of GARCH and stochastic volatility models with non–normal innovations;Bai;Journal of Econometrics,2003
Cited by
40 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献