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Fractionally integrated time varying GARCH model

โœ Scribed by Adnen Ben Nasr; Mohamed Boutahar; Abdelwahed Trabelsi


Book ID
106302049
Publisher
Springer
Year
2010
Tongue
English
Weight
481 KB
Volume
19
Category
Article
ISSN
1613-981X

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## Abstract The authors develop a Markov regimeโ€switching timeโ€varying correlation generalized autoregressive conditional heteroscedasticity (RSโ€TVC GARCH) model for estimating optimal hedge ratios. The RSโ€TVC nests within it both the timeโ€varying correlation GARCH (TVC) and the constant correlatio