On periodic autoregressive stochastic volatility models: structure and estimation
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Publication:4960634
DOI10.1080/00949655.2017.1401626OpenAlexW2769660503MaRDI QIDQ4960634
Publication date: 23 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2017.1401626
particle filteringhigher order momentsperiodic stationarityperiodic GARCH modelperiodic Kalman filterperiodic stochastic volatility model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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