Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models

DOI10.1111/1467-9868.00309zbMath0986.62067OpenAlexW1980164430MaRDI QIDQ2773205

Francesco Audrino

Publication date: 10 June 2002

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.00309

zbMATH Keywords

maximum likelihoodvolatilityfinancial time seriesthreshold modelconditional variancetree modelgeneralized autoregressive conditional heteroscedastic model

Mathematics Subject Classification ID

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

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