Empirical Study of the GARCH model with Rational Errors
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- Takaishi, Tetsuya, 2017. "Rational GARCH model: An empirical test for stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 451-460.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-10 (All new papers)
- NEP-ECM-2014-01-10 (Econometrics)
- NEP-ETS-2014-01-10 (Econometric Time Series)
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