SSRN Electronic Journal · 2020 · 14 citations · 0 references
BusinessEconomicsEconometricsFinancial EconomicsTime Series AnalysisCointegration AnalysisRobust Statistical ModelingRobust StatisticsStochastic VolatilityVolatility AnalysisVolatility ModelingGap PersistenceGeneralized Autoregressive Conditional Heteroskedasticity ModelsMultivariate Stochastic VolatilityRobust InferenceStochastic Volatility ModelsTime-varying Volatility DynamicsTime-varying Volatility ModelsVolatility Modelling