Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010
Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...
