The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models*

  1. Dahl, C.M.
  2. Iglesias, E.M.
Journal:
Journal of Financial Econometrics

ISSN: 1479-8417,  1479-8409

Year of publication: 2022

Volume: 20

Issue: 1

Pages: 139-159

Type: Article

DOI: 10.1093/JJFINEC/NBAA004 GOOGLE SCHOLAR
Data source: Scopus