Zhao, Xin; Scarrott, Carl John; Oxley, Les; Reale, Marco - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1430-1440
. One of the challenges with their application in finance is accounting for the temporal dependence between the observations … proposed to capture the dependence. Commonly a two-stage approach is taken, where the volatility dependence is removed using a …