Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

X. Zhang, D.D. Creal, S.J. Koopman, A. Lucas

Research output: Working paper / Preprint › Working paper › Professional

Original language	English
Place of Publication	Amsterdam
Publisher	Duisenberg School of Finance
Number of pages	34
Publication status	Published - 2011

Name	DSF/TI Discussion Paper
No.	11-078/2/DSF22

Access to Document

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title = "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails",

author = "X. Zhang and D.D. Creal and S.J. Koopman and A. Lucas",

year = "2011",

language = "English",

series = "DSF/TI Discussion Paper",

publisher = "Duisenberg School of Finance",

number = "11-078/2/DSF22",

type = "WorkingPaper",

institution = "Duisenberg School of Finance",

}