Department of Management

Morten Berg Jensen

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
Volume4
Issue2
Pages (from-to)319-342
Number of pages24
ISSN1368-4221
Publication statusPublished - 2001
Externally publishedYes

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