Volatility Regressions with Fat Tails
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Aug 2020.
- Neil Shephard, 2020. "An estimator for predictive regression: reliable inference for financial economics," Papers 2008.06130, arXiv.org.
More about this item
Keywordsvolatility; autoregression; fat tails; random limits.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2020-05-11 (Econometrics)
- NEP-ETS-2020-05-11 (Econometric Time Series)
- NEP-GEN-2020-05-11 (Gender)
- NEP-ORE-2020-05-11 (Operations Research)
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