The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

Jensen, Morten B.; Lunde, Asger

doi:10.1111/1368-423X.00070

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The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

Author(s): Morten B. Jensen , Asger Lunde

Publication date Created: December 2001

Publication date (Print): December 2001

Journal: The Econometrics Journal

Publisher: Wiley

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Title: The Econometrics Journal

Abbreviated Title: Econometrics Journal

Publisher: Wiley

ISSN (Print): 1368-4221

ISSN (Electronic): 1368-423X

Publication date Created: December 2001

Publication date (Print): December 2001

Volume: 4

Issue: 2

Pages: 319-342

Article

DOI: 10.1111/1368-423X.00070

SO-VID: 20425d48-0def-4071-9a14-b2b6a9ea4fcd

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http://doi.wiley.com/10.1002/tdm_license_1.1

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The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

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