Efficient estimation of conditional variance functions in stochastic regression
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Publication:4216694
DOI10.1093/biomet/85.3.645zbMath0918.62065OpenAlexW2035196103MaRDI QIDQ4216694
Publication date: 3 November 1998
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/6635/
heteroscedasticityARCHefficient estimatornonlinear time seriesvolatilitylocal linear regressionconditional varianceabsolutely regular
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