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A perturbation method to optimize the parameters of autoregressive conditional heteroscedasticity model

Xuejie Feng, Chiping Zhang
Year of publication:
2020
Authors: Feng, Xuejie ; Zhang, Chiping
Subject: Perturbation | Maximum error minimization | Prediction | Heteroscedasticity | Schätztheorie | Estimation theory | Heteroskedastizität | ARCH-Modell | ARCH model | Mathematische Optimierung | Mathematical programming
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