Fuente, Cristina García de la; Galeano, Pedro; Wiper, … - Departamento de Estadistica, Universidad Carlos III de … - 2014
Financial returns often present a complex relation with previous observations, along with a slight skewness and high kurtosis. As a consequence, we must pursue the use of flexible models that are able to seize these special features: a financial process that can expose the intertemporal relation...