The hierarchical-likelihood approach to autoregressive stochastic volatility models (Q452568)
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scientific article; zbMATH DE number 6082972
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| English | The hierarchical-likelihood approach to autoregressive stochastic volatility models |
scientific article; zbMATH DE number 6082972 |
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The hierarchical-likelihood approach to autoregressive stochastic volatility models (English)
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15 September 2012
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autoregressive stochastic volatility model
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hierarchical generalized linear model
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hierarchical likelihood
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sparse matrix computation
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prediction
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0.7663528323173523
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0.7663525342941284
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0.7617909908294678
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0.7517176270484924
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