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Beta-t-(E)GARCH

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http://www.dspace.cam.ac.uk/handle/1810/229418
 https://www.repository.cam.ac.uk/handle/1810/229418

Repository DOI

https://doi.org/10.17863/CAM.5286
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0840.pdf (317.54 KB)

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Working Paper

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Keywords

Conditional heteroskedasticity, leverage, robustness, score, Student's t, volatility

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All Rights Reserved
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Cambridge Working Papers in Economics (CWPE)