A note on the relationship between GARCH and symmetric stable processes

C-Tier

Journal: Journal of Empirical Finance

Year: 1995

Volume: 2

Issue: 3

Pages: 253-264

Authors (3)

Groenendijk, Patrick A. (not in RePEc) Lucas, Andre (not in RePEc) de Vries, Casper G. (Erasmus Universiteit Rotterdam)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count