Publication:3645220
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zbMath1274.91342MaRDI QIDQ3645220
Mariusz Gąsowski, Elżbieta Z. Ferenstein
Publication date: 16 November 2009
Full work available at URL: https://eudml.org/doc/40452
autoregressive process; conditional heteroscedastic variance; financial log returns; GARCH and EGARCH models
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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