Browsing Max Weber Programme (MWP) by Subject "GARCH t model"

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Browsing Max Weber Programme (MWP) by Subject "GARCH t model"

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    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, ...