The \(L^2\)-structures of standard and switching-regime GARCH models
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Publication:2567232
DOI10.1016/j.spa.2005.04.005zbMath1074.60075MaRDI QIDQ2567232
Jean-Michel Zakoian, Christian Francq
Publication date: 29 September 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.04.005
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60G12: General second-order stochastic processes
60J05: Discrete-time Markov processes on general state spaces
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