Self-weighted recursive estimation of GARCH models
DOI10.1080/03610918.2015.1053924zbMATH Open1392.62310OpenAlexW2566645609MaRDI QIDQ4563409FDOQ4563409
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Cites Work
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- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- Statistics of financial markets. An introduction.
- Recursive Estimation of GARCH Models
- An introduction to analysis of financial data with R.
- Real time estimation of stochastic volatility processes
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