RCA models: joint prediction of mean and volatility

DOI10.1016/j.spl.2012.10.031zbMath1352.62142OpenAlexW1978315235MaRDI QIDQ1950658

A. Thavaneswaran, You Liang, Ravishanker, Nalini

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.10.031

zbMATH Keywords

spectral densityrecursive estimationfinancial datarandom coefficient autoregressionssquared process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter

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