Local scale models. State space alternative to integraded GARCH processes
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Publication:1318993
DOI10.1016/0304-4076(94)90043-4zbMath0800.62807MaRDI 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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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