مرکز منطقه ای اطلاع رساني علوم و فناوري - The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data

Title of article :

The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data

Author/Authors :

Devajyoti Ghose، نويسنده , , Kenneth F. Kroner، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 1995

Pages :

From page :

225

To page :

251

Keywords :

Stable Paretian distributions , GARCH models , Leptokurtosis in financial data

Journal title :

Journal of Empirical Finance

Serial Year :

1995

Journal title :

Journal of Empirical Finance

Record number :

130580

Link To Document :