Work

Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities

Year: 2024

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbae019

Authors: M Angeles Carnero, Angel León, Trino-Manuel Ñíguez

Institutions: University of Alicante, University of Westminster

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4404054077

FWCI: 0.36

Cites: 55

Cited by: 2

Related to: 10