Volatility filtering in estimation of kurtosis (and variance)
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Publication:2283658
DOI10.1515/demo-2019-0001zbMath1434.62179OpenAlexW2917110112MaRDI QIDQ2283658
Publication date: 13 January 2020
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2019-0001
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Economic time series analysis (91B84)
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