T. Bollerslev, “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, Vol. 31, No. 3, 1986, pp. 307-327
has been cited by the following article:
TITLE: Absolute Adviser or Stochastic Model of Trade on the “Heavy Tails” of Distributions
AUTHORS: Alexey M. Avdeenko
KEYWORDS: Heavy Tails; Forex Market; Adviser
JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.2, May 24, 2013
ABSTRACT: The algorithm of trade on the “heavy tails” of distributions of financial sequences is considered. Critical conditions and parameters for the implementation of win-win adviser are established. The algorithm subjected to the total testing the Forex market for the periods 1990-2012. The material is presented in the maximum available for non-mathematicians form.