Pascalau, Razvan; Thomann, Christian; Gregoriou, Greg N. - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a new model called Fourier-GARCH that is a modification of the popular GARCH(1,1). This modification allows for time-varying first and second moments via means of Flexible Fourier transforms. A nice feature of this model is its ability to capture both short and long run...
