Combining estimating functions for volatility
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Publication:999000
DOI10.1016/J.JSPI.2008.07.014zbMath1153.62082OpenAlexW2020144728MaRDI QIDQ999000
Publication date: 30 January 2009
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2008.07.014
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (5)
Random autoregressive models: A structured overview ⋮ Generalized value at risk forecasting ⋮ Joint estimation using quadratic estimating function ⋮ Nonlinear recursive estimation of volatility via estimating functions ⋮ Generalized duration models and optimal estimation using estimating functions
Uses Software
Cites Work
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