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The Effect of Innovation Assumptions on Asymmetric GARCH Models for Volatility Forecasting.

Diego AcuñaHéctor Allende-CidHéctor Allende
Published in: CIARP (2015)
Keyphrases
  • garch model
  • chinese stock market
  • stock market
  • multivariate time series
  • sar images
  • short term
  • long term
  • stock price
  • financial time series
  • image sequences
  • exchange rate
  • heavy tailed