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zbMath1193.62198MaRDI QIDQ3580560

M. A. Iquebal, Himadri Ghosh, Prajneshu

Publication date: 13 August 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

EM algorithm volatility BIC stochastic trend out-of-sample forecasting autoregressive conditional heteroscedasticity GMTD model MAR model MAR-ARCH model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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