Veiga, Alvaro; Raposo, Gustavo Santos - Society for Computational Economics - SCE - 2005
variables with a time varying mean given by a GARCH type equation. After that, in 2000, Engle incorporated duration into a … volatility context (UHF-GARCH). Then, in 2001, Zhang, Russell and Tsay extended the original models (Exponencial and Weibull ACD …
