Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates /
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series dat...
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| 格式: | 杂志 |
| 语言: | English |
| 出版: |
Washington, D.C. :
International Monetary Fund,
1998.
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| 丛编: | IMF Working Papers; Working Paper ;
No. 1998/029 |
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| 在线阅读: | Full text available on IMF |