Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes (Q834291): Difference between revisions
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Revision as of 02:21, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes |
scientific article |
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Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes (English)
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19 August 2009
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conditional volatility
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EM algorithm
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MARCH model
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outliers
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regime switches
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