Title:

Modeling Stock Markets´ Volatility Using GARCH Models with Normal, Student´s t and Stable Paretian Distributions

Authors:

José Dias Curto (ISCTE - Instituto Universitário de Lisboa)
José Castro Pinto (ISCTE - Instituto Universitário de Lisboa)
Gonçalo Nuno Tavares (UTL, INESC)

Journal:

Statistical Papers

Year:

2009

Volume:

50

Pages:

311-321

JEL codes:

C53 - Forecasting and Other Model Applications
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G1 - General Financial Markets