Fonseca, Thaís C. O. da; Cerqueira, Vinícius dos Santos; … - 2016
heteroskedasticity (Garch) model with heavy tailed sampling distributions. In particular, we consider the Student-t model with unknown … discuss problems related to the estimation of degrees of freedom in the Student-t model and propose a solution based on … estimation of model parameters in the Student-t Garch model are affected by small sample sizes, prior distributions and …