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Inference in ARCH and GARCH models with heavy-tailed errors

Hall, Peter; Yao, Qiwei


ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is present. These include financial time series, which can be

CollectionsANU Research Publications
Date published: 2003
Type: Journal article
Source: Econometrica


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