Nonstationary generalised autoregressive conditional heteroskedasticity modelling for fitting higher order moments of financial series within moving time windows

DOI10.1155/2022/4170866OpenAlexW4280635497MaRDI QIDQ2149183FDOQ2149183

Luke De Clerk, Sergey Savel'ev

Publication date: 28 June 2022

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.11627

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx)

Cites Work

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Cited In (2)

• Generalized EGARCH Random Effect Models Application to Financial Time Series
• Ai algorithms for fitting GARCH parameters to empirical financial data

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