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Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation.

Nikolay Y. NikolaevGeorgi N. BoshnakovRobert Zimmer
Published in: Expert Syst. Appl. (2013)
Keyphrases
  • heavy tailed
  • garch model
  • generalized gaussian
  • stock market
  • heavy tails
  • parameter estimation
  • sar images
  • mutual information
  • noisy data
  • exchange rate
  • multivariate time series