Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?
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DOI: 10.1080/00036846.2014.1000536
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- Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
- Charles, Amélie & Darné, Olivier, 2017.
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- Amélie Charles & Olivier Darné, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Post-Print hal-01598141, HAL.
- Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics 27483, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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