Heteroscedastic modelling via the autoregressive conditional variance subspace
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Publication:2925554
DOI10.1002/cjs.11222zbMath1297.62193OpenAlexW2082220318MaRDI QIDQ2925554
Jin-Hong Park, S. Yaser Samadi
Publication date: 16 October 2014
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11222
kernel methodfinancial time seriesautoregressive conditional heteroscedasticitymodified information criterionautoregressive central variance subspace
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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