Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations (Q2888192)
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scientific article; zbMATH DE number 6039682
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations |
scientific article; zbMATH DE number 6039682 |
Statements
30 May 2012
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moment properties
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kurtosis
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correlated RCA models
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stochastic volatility
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0.90558946
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0.8932212
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0.8871714
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0.8828211
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0.8824664
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0.88233984
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0.87778586
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Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations (English)
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