Department of Management

The NIG-S&ARCH Model: A Fat Tailed, Stochastic, and Autoregressive Conditional Heteroskedastic Volatility Model

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Original languageEnglish
JournalEconometrics Journal
Issue number2
Pages (from-to)319-342
Number of pages24
Publication statusPublished - 2001

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