Galeano, Pedro; Tsay, Ruey S. - In: Journal of Financial Econometrics 8 (2010) 1, pp. 122-153
Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by the generalized conditional heteroscedastic (GARCH) model, even with heavy-tailed innovations. Many researchers have argued that these...