Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
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Publication:2212816
DOI10.1016/j.chaos.2019.01.040zbMath1448.91283OpenAlexW2921558981MaRDI QIDQ2212816
Xin-Tian Zhuang, Xiong Xiong, Xiao-Li Gong, Xi-Hua Liu
Publication date: 25 November 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2019.01.040
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Financial markets (91G15)
Uses Software
Cites Work
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