Modeling stock markets' volatility using GARCH models with Normal, Student's t and stable Paretian distributions

Statistical Papers

Volumn 50, Issue 2, 2009, Pages 311-321

  Curto, José Dias ^a   Pinto, José Castro ^a   Tavares, Gonçalo Nuno ^b,c  

^a UNIVERSITY INSTITUTE OF LISBON   (Portugal)

^b INESC   (Portugal)

^c INSTITUTO SUPERIOR TÉCNICO   (Portugal)

Author keywords

Conditional heteroskedasticity; Non Gaussian distributions

Indexed keywords

EID: 58549098260     PISSN: 09325026     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00362-007-0080-5     Document Type: Article

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