A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction
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References listed on IDEAS
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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More about this item
KeywordsHeteroscedasticity; Kyrtosis; Maximum likelihood; Time series;
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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