On the relation between GARCH and stable processes
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Publication:2277742
DOI10.1016/0304-4076(91)90066-MzbMath0725.62104OpenAlexW2127456401MaRDI QIDQ2277742
Publication date: 1991
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(91)90066-m
stable processesconditional distributionsGARCH processesclustering of volatilityconditional scalingfat-tail propertystable subordination
Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20)
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