Beta-t-(E)GARCH

Repository URI
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
Files
0840.pdf (317.54 KB)
Type
Working Paper
Change log
Authors
Harvey, AC 
Description
Keywords
Conditional heteroskedasticity, leverage, robustness, score, Student's t, volatility
Is Part Of
Rights
All Rights Reserved
Collections
Cambridge Working Papers in Economics (CWPE)