Huang, Da; Wang, Hansheng; Yao, Qiwei - In: Econometrics Journal 11 (2008) 1, pp. 27-38
The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is well understood now that the tail heaviness of...
