Diongue, Abdou Kâ; Guegan, Dominique; Wolff, Rodney C. - HAL - 2010
In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have...
