Parameter estimation for GARCH(1,1) models based on Kalman filter (Q2885074)
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scientific article; zbMATH DE number 6037151
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Parameter estimation for GARCH(1,1) models based on Kalman filter |
scientific article; zbMATH DE number 6037151 |
Statements
21 May 2012
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GARCH models
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quasi-maximum likelihood
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Kalman filter
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simultaneous perturbation stochastic approximation
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Parameter estimation for GARCH(1,1) models based on Kalman filter (English)
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