Random coefficient volatility models
From MaRDI portal
Publication:2483427
DOI10.1016/j.spl.2007.09.019zbMath1137.62387MaRDI QIDQ2483427
S. S. Appadoo, M. Shelton Peiris, A. Thavaneswaran
Publication date: 28 April 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.019
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
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