Jiang, Jiancheng; Zhao, Quanshui; Hui, Yer Van - In: Journal of Forecasting 20 (2001) 2, pp. 111-33
The autoregressive conditional heteroscedastic (ARCH) model and its extensions have been widely used in modelling changing variances in financial time series. Since the asset return distributions frequently display tails heavier than normal distributions, it is worth while studying robust ARCH...