| dc.contributor.author | Politis, Dimitris Nicolas | en |
| dc.contributor.editor | Terrell D. | en |
| dc.contributor.editor | Fomby T.B. | en |
| dc.creator | Politis, Dimitris Nicolas | en |
| dc.date.accessioned | 2019-12-02T10:37:50Z | |
| dc.date.available | 2019-12-02T10:37:50Z | |
| dc.date.issued | 2006 | |
| dc.identifier.issn | 0731-9053 | |
| dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57513 | |
| dc.description.abstract | A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multi-parameter numerical maximum likelihood is also given, and a real data example is worked out. © 2006 Elsevier Ltd. All rights reserved. | en |
| dc.source | Advances in Econometrics | en |
| dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645882944&doi=10.1016%2fS0731-9053%2805%2920004-X&partnerID=40&md5=f28ac771ba225ee7a8e781793b183029 | |
| dc.title | A Multivariate Heavy-Tailed Distribution for ARCH/GARCH Residuals | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.identifier.doi | 10.1016/S0731-9053(05)20004-X | |
| dc.description.volume | 20 PART 1 | en |
| dc.description.startingpage | 105 | |
| dc.description.endingpage | 124 | |
| dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
| dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
| dc.type.uhtype | Article | en |
| dc.description.notes | <p>Cited By :3</p> | en |
| dc.source.abbreviation | Adv. Econom. | en |
