Test for tail index constancy of GARCH innovations based on conditional volatility
Crossref DOI link: https://doi.org/10.1007/s10463-018-0669-6
Published Online: 2018-05-17
Published Print: 2019-08
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Kim, Moosup
Lee, Sangyeol
Text and Data Mining valid from 2018-05-17
Article History
Received: 25 November 2016
Revised: 18 April 2018
First Online: 17 May 2018