Skip navigation
Skip navigation

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


File Description SizeFormat Image
01_Liu_On_estimation_in_conditional_2006.pdf6.92 MBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator