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

Publication: Research - peer-reviewJournal article

Original languageEnglish
JournalEconometrics Journal
Volume4
Issue number2
Pages (from-to)319-342
Number of pages24
ISSN1368-4221
StatePublished - 2001

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ID: 32326450