Estimation in real data set by Split-ARCH model

DOI10.2298/FIL0702133SMaRDI QIDQ5452454zbMATH OpenFDO

Authors Vladica Stojanović, Biljana Popović

Publication date 4 April 2008

Published in Filomat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/FIL0702133S

zbMATH Keywords

extrapolationstationarityvolatility

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(1)

• The split-SV model

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