On the Stationary Version of the Generalized Hyperbolic ARCH Model
Year of publication: |
2007
|
---|---|
Authors: | Mena, Ramsés ; Walker, Stephen |
Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 59.2007, 2, p. 325-348
|
Publisher: |
Springer |
Subject: | ARCH | EM algorithm | Generalized hyperbolic distributions | Stationary processes |
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