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new shock, they re-estimate the distribution from which it was drawn. Even transitory shocks have persistent effects …
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We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
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. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
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