A comparison of GARCH –Jump Models with Skewed Generalized Error Distribution for Asset Returns
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 96 === This paper adopts the GARCH jump model and ARJI model of Chan and Maheu(2002) that combine the skewed generalized error distribution of asset returns, in order to examine the jump, leptokurtosis and volatility clustering for the rates of returns of America and...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/85563055978979441558 |