Department of Management

Morten Berg Jensen

The NIG-S&ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

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The NIG-S&ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model. / Jensen, Morten Berg.

In: Econometrics Journal, Vol. 4, No. 2, 2001, p. 319-342.

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

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@article{9b3831c00dc211dc9ade000ea68e967b,
title = "The NIG-S&ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model",
author = "Jensen, {Morten Berg}",
year = "2001",
language = "English",
volume = "4",
pages = "319--342",
journal = "Econometrics Journal",
issn = "1368-4221",
publisher = "Wiley",
number = "2",

}

RIS

TY - JOUR

T1 - The NIG-S&ARCH model: A fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

AU - Jensen, Morten Berg

PY - 2001

Y1 - 2001

M3 - Journal article

VL - 4

SP - 319

EP - 342

JO - Econometrics Journal

JF - Econometrics Journal

SN - 1368-4221

IS - 2

ER -