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Keywords: Square-root-of-time rule
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Journal Articles
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2014) 15 (1): 4–32.
Published: 28 January 2014
... fat-tailed and skewed innovations and a long memory specification of the slowly declining influence of past volatility shocks. As the square-root-of-time rule is known to be mis-specified, the GARCH setting of Drost and Nijman is used as benchmark model. The empirical study of equity market risk...
