Modelling volatility by variance decomposition (Q71677)
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scientific article; zbMATH DE number 6271022
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| default for all languages | No label defined |
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| English | Modelling volatility by variance decomposition |
scientific article; zbMATH DE number 6271022 |
Statements
175
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2
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142-153
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August 2013
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18 March 2014
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Modelling volatility by variance decomposition (English)
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conditional heteroskedasticity
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nonlinear time series
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maximum likelihood estimation
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iterative algorithm
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time-varying parameter model
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0.8034535050392151
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0.8018113374710083
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0.7862299680709839
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0.783814549446106
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0.7808690667152405
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