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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| Format: | Journal Article |
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Elsevier Science
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/36268 |