Generalized dynamic linear models for financial time series

DOI10.1002/asmb.428zbMath0967.91066OpenAlexW2023771330MaRDI QIDQ2722286

Patrizia Campagnoli, Pietro Muliere, Sonia Petrone

Publication date: 11 July 2001

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.428

zbMATH Keywords

stochastic volatilityKalman filterGARCH modelsdynamic linear modelsstochastic regressorsconditionally Gaussian models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Economic time series analysis (91B84) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

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