keyword Smooth transition GARCH model / (1 Article)
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Writer : Bajalan، Saeed ؛ Eyvazlu، Reza ؛ Akbari، Guilda ؛
Journal:Iranian Journal of Finance»Spring 2018, Volume 2 - Number 2 (22 page(s) - From 7 to 28 )
Keywords:Pair tradingRolling window approachSmooth transition GARCH modelOne-step-ahead quantile forecastingOut-of-sample-period