To infinity and beyond: efficient computation of ARCH\((\infty)\) models (Q4997702)
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scientific article; zbMATH DE number 7364937
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| English | To infinity and beyond: efficient computation of ARCH\((\infty)\) models |
scientific article; zbMATH DE number 7364937 |
Statements
To infinity and beyond: Efficient computation of ARCH(<i>∞</i>) models (English)
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30 June 2021
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circular convolution theorem
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conditional heteroskedasticity
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fast Fourier transform
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FIGARCH
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truncation
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0.8045145869255066
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0.7950507402420044
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0.7728891372680664
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0.7720209360122681
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