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Nonstationary GARCH with t-distributed innovations
Rasmus Søndergaard Pedersen
,
Anders Rahbek
6
Citations (Scopus)
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Mathematics
Degree of Freedom
100%
Asymptotic Normality
100%
GARCH Model
50%
Asymptotic Covariance Matrix
50%
Stationary Case
50%
Explicit Formula
50%
Keyphrases
Asymptotic Covariance Matrix
25%
T-consistency
25%