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On improved volatility modelling by fitting skewness in ARCH models

P Mantalos1, A Karagrigoriou2, L Střelec3

  • 1Department of Economics and Statistics, Linnaeus University, Vaxjo, Sweden.

Journal of Applied Statistics
|June 16, 2022
PubMed

Keywords:
ARCH/GARCH modelNoVaSRobust test for normalitykurtosisskewness

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