Ayala, Astrid; Blazsek, Szabolcs - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 65-92
Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are …