Irregularity, volatility, risk, and financial market time series

DOI10.1073/pnas.0405168101zbMath1064.91061WikidataQ24564668 ScholiaQ24564668MaRDI QIDQ5460848

R. E. Kalman, Steve Pincus

Publication date: 19 July 2005

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.0405168101

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

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Cites Work

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