RCA model with quadratic GARCH innovation distribution (Q452958)

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RCA model with quadratic GARCH innovation distribution
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    title
    RCA model with quadratic GARCH innovation distribution (English)
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    author
    J. Herrera
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    D. Rodríguez-Gómez
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    publication date
    18 September 2012
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    zbMATH DE Number
    6083651
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    zbMATH Keywords
    fat tailed innovation distribution
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    GARCH model
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    kurtosis
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    random coefficient autoregressive model
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    variance
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