Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data (Q6138583)
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scientific article; zbMATH DE number 7789396
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data |
scientific article; zbMATH DE number 7789396 |
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Estimating \(\operatorname{GARCH}(1, 1)\) in the presence of missing data (English)
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16 January 2024
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hidden Markov model
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incomplete data
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intractable likelihood
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sequential Monte Carlo
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volatility modelling
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