GARCH models based on Brownian Inverse Gaussian innovation processes / Gideon Griebenow
In classic GARCH models for financial returns the innovations are usually assumed to be normally distributed. However, it is generally accepted that a non-normal innovation distribution is needed in order to account for the heavier tails often encountered in financial returns. Since the structure of...
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North-West University
2009
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| Online Access: | http://hdl.handle.net/10394/1019 |