Browsing Department of Economics (ECO) by Subject "C16"

DSpace/Manakin Repository

Browsing Department of Economics (ECO) by Subject "C16"

Sort by: Order: Results:

  • Icon
    Title: Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue  Author(s): HERACLEOUS, Maria S. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Econometric modeling based on the Student’s t distribution introduces an additional parameter — the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, ...
  • Icon
    Title: Sample Kurtosis, GARCH-t and the Degrees of Freedom Issue  Author(s): HERACLEOUS, Maria S. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: Econometric modeling based on the Student's t distribution introduces an additional parameter -- the degree of freedom. In this paper we use a simulation study to investigate the ability of (i) the GARCH-t model (Bollerslev, ...