Joint modeling of cointegration and conditional heteroscedasticity with applications
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Publication:816593
DOI10.1007/BF02506881zbMath1083.62097MaRDI QIDQ816593
Heung Wong, Shiquing Ling, Wai Keung Li
Publication date: 9 March 2006
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
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