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On estimation in conditional heteroskedastic time series models under non-normal distributions

Liu, Shuangzhe; Heyde, C C


Financial time series data are typically observed to have heavy tails and time-varying volatility. Conditional heteroskedastic models to describe this behaviour have received considerable attention. In the present paper, our purpose is to examine some of

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
Source: Statistical Papers
DOI: 10.1007/s00362-006-0026-3


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