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- W2105305265 abstract "The quest for the ‘best’ heavy-tailed distribution for ARCH/GARCH residuals appears to still be ongoing. In this connection, we propose a new distribution that arises in a natural way as an outcome of an implicit model. The challenging application of prediction of squared returns is also discussed; an optimal predictor is formulated, and the usefulness of the new distribution for prediction is demonstrated on three real datasets. c ∞ 2004 Peking University Press" @default.
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- W2105305265 date "2004-01-01" @default.
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- W2105305265 title "A heavy-tailed distribution for ARCH residuals with application to volatility prediction" @default.
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