Leverage Effect for Volatility with Generalized Laplace Error
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DOI: 10.1515/eqc-2014-0015
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- Javed Farrukh & Podgórski Krzysztof, 2017. "Tail Behavior and Dependence Structure in the APARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-48, July.
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Keywords
Heavy Tails; Volatility Clustering; Generalized Asymmetric Laplace Distribution; Leverage Effect; Conditional Heteroskedasticity; Asymmetric Power Volatility; GARCH Models;All these keywords.
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