Modelling the persistence of conditional variances

DOI10.1080/07474938608800095zbMath0619.62105OpenAlexW2023240121MaRDI QIDQ3756387

Publication date: 1986

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938608800095

zbMATH Keywords

conditional kurtosis GARCH asset pricing theory autoregressive conditional heteroscedasticity exchange rate determination ARCH-type models generalizing the conditional density integrated in variance modelling conditional variances modelling of risk and uncertainty nonlinear conditional heteroscedasticity Student-\(t\) distribution with unknown degrees of freedom time aggregated models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

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