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2006
A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
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A GARCH-type model for non-leading financial market returns is considered.The innovation consists in assuming the returns to depend on the sign of the leading financial market in the world. Under standard assumption, the conditional distribution of the returns turns out to be a Skew-t random variate.
DE LUCA, GIOVANNI, LOPERFIDO N.
openaire +2 more sources