Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

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

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherDuisenberg School of Finance
Number of pages34
Publication statusPublished - 2011

Publication series

NameDSF/TI Discussion Paper
No.11-078/2/DSF22

Cite this