To infinity and beyond: Efficient computation of ARCH(<i>∞</i>) models (Q4997702)
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scientific article; zbMATH DE number 7364937
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | To infinity and beyond: Efficient computation of ARCH(<i>∞</i>) models |
scientific article; zbMATH DE number 7364937 |
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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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