Empirical Performance of GARCH Models with Heavy-tailed Innovations
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- repec:zbw:espost:168048 is not listed on IDEAS
- Guo, Zi-Yi, 2017. "Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives," EconStor Preprints 167619, ZBW - Leibniz Information Centre for Economics.
- repec:zbw:espost:168350 is not listed on IDEAS
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More about this item
KeywordsHeavy-tailed distribution; GARCH model; Model comparison; Numerical solution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2017-08-27 (Econometrics)
- NEP-ETS-2017-08-27 (Econometric Time Series)
- NEP-RMG-2017-08-27 (Risk Management)
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