Nonlinear recursive estimation of volatility via estimating functions
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Publication:643388
DOI10.1016/j.jspi.2011.07.006zbMath1284.62555OpenAlexW2036260807MaRDI QIDQ643388
Publication date: 28 October 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2011.07.006
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Stochastic models in economics (91B70)
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Cites Work
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