Nonstationary nonlinear heteroskedasticity. (Q1858976)

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Nonstationary nonlinear heteroskedasticity.
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    title
    Nonstationary nonlinear heteroskedasticity. (English)
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    author
    Joon Y. Park
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    publication date
    17 February 2003
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    Mathematics Subject Classification ID
    62M10
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    62P05
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    62E20
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    62P20
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    zbMATH DE Number
    1869230
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    zbMATH Keywords
    conditional heteroskedasticity
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    ARCH
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    nonstationarity
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    nonlinearity
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    volatility clustering
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    leptokurtosis
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