On periodic autoregressive stochastic volatility models: structure and estimation (Q4960634)
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scientific article; zbMATH DE number 7192623
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English | On periodic autoregressive stochastic volatility models: structure and estimation |
scientific article; zbMATH DE number 7192623 |
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On periodic autoregressive stochastic volatility models: structure and estimation (English)
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23 April 2020
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periodic stochastic volatility model
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periodic GARCH model
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periodic stationarity
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higher order moments
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particle filtering
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periodic Kalman filter
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