Two-stage RLS algorithm for estimating ARCH models
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Publication:857101
DOI10.1016/j.crma.2006.09.004zbMath1101.62072OpenAlexW2026999865MaRDI QIDQ857101
Abdelhakim Aknouche, Hafida Guerbyenne
Publication date: 14 December 2006
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2006.09.004
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Cites Work
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- The convergence of AML
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- SOME THEOREMS IN LEAST SQUARES
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