RCA model with quadratic GARCH innovation distribution
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Publication:452958
DOI10.1016/j.aml.2011.12.023zbMath1247.91204MaRDI QIDQ452958
J. Herrera, D. Rodríguez-Gómez
Publication date: 18 September 2012
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2011.12.023
variance; kurtosis; GARCH model; fat tailed innovation distribution; random coefficient autoregressive model