Conrad, Christian; Kleen, Onno - 2016
-Zarnowitz regression to the case of a multiplicative GARCH model, using squared returns as a proxy for the true but unobservable …, returns have higher kurtosis and squared returns have a more persistent autocorrelation function than in the nested GARCH … model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R2 in a Mincer …