Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model
Article first published online: 28 OCT 2002
Copyright © 2002 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Special Issue: Modelling and Forecasting Financial Volatility
Volume 17, Issue 5, pages 535–548, September/October 2002
How to Cite
Forsberg, L. and Bollerslev, T. (2002), Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. J. Appl. Econ., 17: 535–548. doi: 10.1002/jae.685
- Issue published online: 28 OCT 2002
- Article first published online: 28 OCT 2002
- Manuscript Revised: 21 MAY 2002
- Manuscript Received: 31 OCT 2001
- The Swedish Foundation for International Cooperation in Research and Higher Education (STINT). Grant Number: IG 2002-02 045
- Jan Wallanders and Tom Hedelius Foundation. Grant Number: J 01-28
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