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...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | دورية |
| اللغة: | English |
| منشور في: |
Washington, D.C. :
International Monetary Fund,
1998.
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| سلاسل: | IMF Working Papers; Working Paper ;
No. 1998/029 |
| الموضوعات: | |
| الوصول للمادة أونلاين: | Full text available on IMF |