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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| Aineistotyyppi: | Aikakauslehti |
| Kieli: | English |
| Julkaistu: |
Washington, D.C. :
International Monetary Fund,
1998.
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| Sarja: | IMF Working Papers; Working Paper ;
No. 1998/029 |
| Aiheet: | |
| Linkit: | Full text available on IMF |