A FUNCTIONAL VERSION OF THE ARCH MODEL

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

Mathematics Subject Classification ID

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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