A FUNCTIONAL VERSION OF THE ARCH MODEL
From MaRDI portal
Publication:2847583
DOI10.1017/S0266466612000345zbMath1271.62204arXiv1105.0343MaRDI QIDQ2847583
Ron Reeder, Lajos Horváth, Siegfried Hörmann
Publication date: 11 September 2013
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.0343
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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