Stavroyiannis, Stavros; Zarangas, Leonidas - In: Panoeconomicus 60 (2013) 2, pp. 231-247
This paper studies the efficiency of an econometric model where the volatility is modeled by a GARCH (1,1) process, and the innovations follow a standardized form of the Pearson type-IV distribution. The performance of the model is examined by in sample and out of sample testing, and the...
