Modelling volatility by variance decomposition (Q71677)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Modelling volatility by variance decomposition
scientific article

    Statements

    175
    0 references
    2
    0 references
    142-153
    0 references
    August 2013
    0 references
    18 March 2014
    0 references
    0 references
    0 references
    0 references
    0 references
    Modelling volatility by variance decomposition (English)
    0 references
    conditional heteroskedasticity
    0 references
    nonlinear time series
    0 references
    maximum likelihood estimation
    0 references
    iterative algorithm
    0 references
    time-varying parameter model
    0 references

    Identifiers