Heracleous, Maria S.; Spanos, Aris - In: Econometric analysis of financial and economic time series, (pp. 289-319). 2006
This paper proposes the Student's t Dynamic Linear Regression (St-DLR) model as an alternative to the various extensions/modifications of the ARCH type volatility model. The St-DLR differs from the latter models of volatility because it can incorporate exogenous variables in the conditional...
