Functional Generalized Autoregressive Conditional Heteroskedasticity

DOI10.1111/JTSA.12192zbMath1356.62133arXiv1509.03813OpenAlexW2167467896MaRDI QIDQ2954300

Lajos Horváth, Daniel F. Pellatt, Alexander Aue

Publication date: 12 January 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.03813

zbMATH Keywords

stationary solutionsfinancial time seriesfunctional dataeconometricsGARCH processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the Prediction of Stationary Functional Time Series

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