Unfolded GARCH models
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Publication:1657508
DOI10.1016/j.jedc.2015.06.007zbMath1401.91563OpenAlexW1718518301MaRDI QIDQ1657508
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11794/67101
adaptive MCMCfolded distributioncopula modelabsolute returnsconditional skewness and kurtosisdirection-of-change model
Related Items (2)
Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model ⋮ Multivariate Return Decomposition: Theory and Implications
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