Self-weighted recursive estimation of GARCH models
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Publication:4563409
DOI10.1080/03610918.2015.1053924zbMath1392.62310MaRDI QIDQ4563409
Publication date: 1 June 2018
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2015.1053924
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
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- Generalized autoregressive conditional heteroscedasticity
- Nonlinear time series. Nonparametric and parametric methods
- Real time estimation of stochastic volatility processes
- Recursive Estimation of GARCH Models
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- Statistics of financial markets. An introduction.