Heteroscedastic modelling via the autoregressive conditional variance subspace (Q2925554)
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scientific article; zbMATH DE number 6357243
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Heteroscedastic modelling via the autoregressive conditional variance subspace |
scientific article; zbMATH DE number 6357243 |
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Heteroscedastic modelling via the autoregressive conditional variance subspace (English)
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16 October 2014
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autoregressive central variance subspace
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autoregressive conditional heteroscedasticity
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financial time series
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kernel method
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modified information criterion
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0.9145014
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0.90855086
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0.9063938
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0.89697397
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0.89438057
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