Functional Generalized Autoregressive Conditional Heteroskedasticity (Q2954300)

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Functional Generalized Autoregressive Conditional Heteroskedasticity
scientific article

    Statements

    title
    Functional Generalized Autoregressive Conditional Heteroskedasticity (English)
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    author
    Alexander Aue
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    Lajos Horváth
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    Daniel F. Pellatt
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    publication date
    12 January 2017
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    zbMATH Keywords
    econometrics
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    financial time series
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    functional data
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    GARCH processes
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    stationary solutions
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    Identifiers

    DOI
    10.1111/jtsa.12192
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    Mathematics Subject Classification ID
    62M10
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    62P20
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    91B84
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    zbMATH DE Number
    6674203
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