Lehnert, Thorsten; Frijns, Bart; Zwinkels, Remco C.J. - Luxembourg School of Finance, Faculté de droit, … - 2010
GARCH-type models have been very successful in describing the volatility dynamics of financial return series for short periods of time. However, for example macroeconomic events may cause the structure of volatility to change and the assumption of stationarity is no longer plausible. In order to...