GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
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References listed on IDEAS
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"Autoregressive Conditional Density Estimation,"
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Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
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- Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
More about this item
KeywordsGARCH; Johnson distributions; Skewness; Kurtosis;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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