Applications of fat-tailed Distributions in financial time series
碩士 === 逢甲大學 === 統計與精算所 === 91 === This paper studies some GARCH models with generalized error distribution (GED) innovations. We accommodate the heavy-tailed characteristic of financial returns by the proposed error distribution. The parameter estimation is performed by a Bayesian approach. We a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37063062046163814314 |