Local scale models. State space alternative to integraded GARCH processes

DOI10.1016/0304-4076(94)90043-4zbMath0800.62807MaRDI QIDQ1318993

Neil Shephard

Publication date: 12 April 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90043-4

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Weak convergence and distributional assumptions for a general class of nonliner arch models, Real-time covariance estimation for the local level model, A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD, Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility, Particle filtering approximations for a Gaussian-generalized inverse Gaussian model, A Gaussian-generalized inverse Gaussian finite-dimensional filter., Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises, Asymptotic filtering theory for multivariate ARCH models, Pairwise Likelihood Inference for General State Space Models, Bayesian analysis of stochastic volatility models with flexible tails

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