Modelling volatility by variance decomposition (Q71677)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling volatility by variance decomposition |
scientific article |
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175
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2
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142-153
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August 2013
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18 March 2014
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Modelling volatility by variance decomposition (English)
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conditional heteroskedasticity
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nonlinear time series
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maximum likelihood estimation
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iterative algorithm
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time-varying parameter model
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