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Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series
0 references·16 citing·45 second hopsampled
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  • 2015Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model

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64 cited
  • 2017Adaptive models and heavy tails with an application to inflation forecasting64 cited
  • 2020Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models56 cited