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    REIT volatility prediction for skew-GED distribution of the GARCH model
    13 years 10 months ago
    REIT volatility prediction for skew-GED distribution of the GARCH model
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    This study investigates how specification of return distribution for REIT influences the performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST and GARC...
    Yen-Hsien Lee, Tung-Yueh Pai
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