RCA model with quadratic GARCH innovation distribution
نویسندگان
چکیده
منابع مشابه
RCA models with GARCH innovations
Rapid developments of time series models and methods addressing volatility in computational finance and econometrics have been recently reported in the financial literature. The non-linear volatility theory either extends and complements existing time series methodology by introducing more general structures or provides an alternative framework (see Abraham and Thavaneswaran [B. Abraham, A. Tha...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2012
ISSN: 0893-9659
DOI: 10.1016/j.aml.2011.12.023