Modelling the persistence of conditional variances
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Publication:3756387
GARCHasset pricing theoryautoregressive conditional heteroscedasticityexchange rate determinationconditional kurtosisARCH-type modelsgeneralizing the conditional densityintegrated in variancemodelling conditional variancesmodelling of risk and uncertaintynonlinear conditional heteroscedasticityStudent-\(t\) distribution with unknown degrees of freedomtime aggregated models
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Cited in
(only showing first 100 items - show all)- Exact predictive densities for linear models with ARCH disturbances
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- Multi-scale tests for serial correlation
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- Long-memory log-linear zero-inflated generalized Poisson autoregression for COVID-19 pandemic modeling
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- DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
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