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Changing (seasonal) conditional distribution
Francis X. Diebold
·
May 20, 2014
·
r-sig-finance
Just add seasonals as "exogenous" variables in the GARCH equation. Use of Fourier terms can achieve significant economy relative to a full set of dummies. See http://www.ssc.upenn.edu/~fdiebold/papers/paper53/reprint.pdf. -- Francis X. Diebold Paul...
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