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The multivariate Edgeworth-Sargan density · Study

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ArticleThe multivariate Edgeworth-Sargan density

Javier Perote2004

Article2004

The multivariate Edgeworth-Sargan density

30 citations·0/0 files stored·Spanish Economic Review

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1997The variation of certain speculative prices 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1994Autoregressive conditional heteroskedasticity and changes in regime 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 2002The Message in Daily Exchange Rates 1994A Markov Model of Switching-Regime ARCH

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Year2004

Typearticle

Published2004-03-03

VenueSpanish Economic Review

ISSN-L1435-5469

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10108-003-0075-x

openalex_workW1998736277

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