Jointly modeling autoregressive conditional mean and variance of non-negative valued time series
Year of publication: |
2019
|
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Authors: | Kawakatsu, Hiroyuki |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 7.2019, 4/48, p. 1-19
|
Subject: | conditional variance dynamics | multiplicative error model | non-negative valued time series | zero-inflated mixture distribution | Theorie | Theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Börsenkurs | Share price | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics7040048 [DOI] hdl:10419/247548 [Handle] |
Classification: | C22 - Time-Series Models ; c58 ; C51 - Model Construction and Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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