M-estimate for the stationary hyperbolic GARCH models (Q2070660)
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scientific article; zbMATH DE number 7462405
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | M-estimate for the stationary hyperbolic GARCH models |
scientific article; zbMATH DE number 7462405 |
Statements
M-estimate for the stationary hyperbolic GARCH models (English)
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24 January 2022
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ARCH(\(\infty\))
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long memory in volatility
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M-estimate
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BM-estimate
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outliers
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0.8996717
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0.89631563
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0.89292437
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0.89228725
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