Computational Statistics & Data Analysis · 2009 · 89 citations · 55 references
Volatility ModelingMultivariate Stochastic VolatilityEngineeringMixture DistributionRobust Bayesian AnalysisUncertainty QuantificationRobust StatisticBusinessNormal DistributionsStatistical InferenceScale MixturesStatisticsFinanceHigh-frequency Financial Econometrics
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Generalized autoregressive conditional heteroskedasticity
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