Volatility Modeling with a Generalized t-distribution
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrew Harvey & Ryoko Ito, 2017. "Modeling time series with zero observations," Economics Papers 2017-W01, Economics Group, Nuffield College, University of Oxford.
- Ryoko Ito, 2016. "Asymptotic Theory for Beta-t-GARCH," Cambridge Working Papers in Economics 1607, Faculty of Economics, University of Cambridge.
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More about this item
KeywordsAsymmetric price transmission; cost pass-through; electricity markets; price theory; rockets and feathers;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2015-06-20 (Econometrics)
- NEP-ETS-2015-06-20 (Econometric Time Series)
- NEP-RMG-2015-06-20 (Risk Management)
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