Use of tempered stable distributions in GARCH(1, 1) models
Use of classical and modified tempered stable distributions for GARCH models is considered in the paper. Such models are applied for the analysis of financial and economic time series, which have several special properties: volatility clustering, heavy tails and asymmetry of residuals distributions....
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| Format: | Article |
| Language: | Belarusian |
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Belarusian State University
2018-05-01
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| Series: | Журнал Белорусского государственного университета: Математика, информатика |
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| Online Access: | https://journals.bsu.by/index.php/mathematics/article/view/885 |