A heavy-tailed distribution for ARCH residuals with application to volatility prediction
Year of publication: |
2004
|
---|---|
Authors: | Politis, Dimitris N. |
Published in: |
Annals of economics and finance. - Beijing : Peking University Press, ISSN 1529-7373, ZDB-ID 2097904-6. - Vol. 5.2004, 2, p. 283-298
|
Subject: | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Statistische Verteilung | Statistical distribution |
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