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In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is … the negative correlation between returns shocks and subsequent shocks to volatility (see Black 1979). McAleer (2014 …
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-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …
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