Optimal predictions of powers of conditionally heteroscedastic processes

Christian Francq and Jean-Michel Zakoian

Journal of the Royal Statistical Society Series B, 2013, vol. 75, issue 2, 345-367

Date: 2013
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Related works:
Working Paper: Optimal Predictions of Powers of Conditionally Heteroskedastic Processes (2012)
Working Paper: Optimal predictions of powers of conditionally heteroskedastic processes (2010)
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DOI: 10.1111/rssb.2013.75.issue-2

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