Local scale models. State space alternative to integraded GARCH processes
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Publication:1318993
DOI10.1016/0304-4076(94)90043-4zbMath0800.62807OpenAlexW1960009795MaRDI QIDQ1318993
Publication date: 12 April 1994
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(94)90043-4
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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- Smoothing and Interpolation with the State-Space Model
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- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Gamma processes
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Common Persistence in Conditional Variances
- Invariant Conditional Distributions
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