Volatility regressions with fat tails
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Publication:2227065
DOI10.1016/j.jeconom.2020.04.034zbMath1464.62418OpenAlexW3024003503MaRDI QIDQ2227065
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://publications.ut-capitole.fr/34915/1/wp_tse_1097.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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