Heteroscedastic modelling via the autoregressive conditional variance subspace

DOI10.1002/cjs.11222zbMath1297.62193OpenAlexW2082220318MaRDI QIDQ2925554

Jin-Hong Park, S. Yaser Samadi

Publication date: 16 October 2014

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11222

zbMATH Keywords

kernel methodfinancial time seriesautoregressive conditional heteroscedasticitymodified information criterionautoregressive central variance subspace

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Dimension reduction in time series under the presence of conditional heteroscedasticity

Cites Work

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• RELATIONS BETWEEN TWO SETS OF VARIATES

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