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Functional ARCH and GARCH models: a Yule-Walker approach - MaRDI portal

Functional ARCH and GARCH models: a Yule-Walker approach (Q2219213)

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Functional ARCH and GARCH models: a Yule-Walker approach
scientific article

    Statements

    title
    Functional ARCH and GARCH models: a Yule-Walker approach (English)
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    author
    Sebastian Kuhnert
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    publication date
    19 January 2021
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    zbMATH Keywords
    parameter estimation
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    stationary solutions
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    Yule-Walker equation
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    cites work
    Q4039882
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    GARCH Models
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    Q3997990
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    Q4084474
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    Q4125663
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    Functional analysis
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    Identifiers

    DOI
    10.1214/20-EJS1778
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    Mathematics Subject Classification ID
    47B38
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    60G10
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    62F12
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    zbMATH DE Number
    7298078
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    OpenAlex ID
    W3123499150
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