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scientific article; zbMATH DE number 1932861
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scientific article; zbMATH DE number 1932861

    Statements

    author
    Marco Ferrante
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    Giovanni Fonseca
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    Paolo Vidoni
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    publication date
    23 June 2003
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    Mathematics Subject Classification ID
    62M05
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    62G05
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    62M10
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    zbMATH DE Number
    1932861
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    zbMATH Keywords
    autoregressive conditional heteroskedasticity
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    estimating functions
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    invariant probability
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    stationary processes
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    threshold model
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    simulations
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