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Ardia, David; Hoogerheide, Lennart F. - 2010

parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …

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Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - 2014

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estimating change-point models. As an example, we compare several change-point GARCH models through their marginal log …

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