Conditionally heteroscedastic unobserved component models and their reduced form
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Publication:974179
DOI10.1016/j.econlet.2009.12.034zbMath1203.91232OpenAlexW2020734570MaRDI QIDQ974179
Antoni Espasa, Santiago Pellegrini, Esther Ruiz Ortega
Publication date: 27 May 2010
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/15748
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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