Modeling heteroscedastic, skewed and leptokurtic returns in discrete time
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- Yanlai Song & Stanford Shateyi & Jianying He & Xueqing Cui, 2022. "Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk," Mathematics, MDPI, vol. 10(20), pages 1-15, October.
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Keywords
stylized facts; normal inverse gaussian; garch model; hyperbolicâ distribution; leptokurtic returns;All these keywords.
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