Modelling time-varying higher moments with maximum entropy density

Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model of Engle [R. Engle, Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50 (1982) 987–1007], the literature of modelling the conditional second...

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Bibliographic Details
Main Author: Chan, Felix
Format: Journal Article
Published: Elsevier Science 2009
Subjects:
Online Access:http://hdl.handle.net/20.500.11937/36268