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Specification tests for the error distribution in GARCH models.

Bernhard KlarFranziska LindnerSimos G. Meintanis
Published in: Comput. Stat. Data Anal. (2012)
Keyphrases
  • garch model
  • test statistic
  • gaussian distribution
  • heavy tailed
  • marginal distributions
  • probability distribution
  • denoising
  • stock market
  • multivariate time series