Zobrazeno 1 - 1
of 1
pro vyhledávání: '"GARCH multivariado estable Sub-Gaussiano"'
Publikováno v:
Ensayos Revista de Economía, Vol 37, Iss 1, Pp 43-76 (2018)
Abstract The purpose of this investigation is to propose a multivariate volatility model that takes into consideration time varying volatility and the property of the α-stable sub-Gaussian distribution to model heavy tails. The principal assumption
Externí odkaz:
https://doaj.org/article/a34a4e397dec4ddf88d7dbbf0824bc22
