Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2012
This paper introduces the concept of risk parameter in conditional volatility models of the form $\epsilon … parameter is expressed as a function of the volatility coefficients $\theta_0$ and the risk, $r(\eta_t)$, of the innovation … only depends on characteristics of the innovations distribution, not on the volatility parameters. Monte-Carlo experiments …