RCA models: Joint prediction of mean and volatility
Year of publication: |
2013
|
---|---|
Authors: | Liang, Y. ; Thavaneswaran, A. ; Ravishanker, N. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 527-533
|
Publisher: |
Elsevier |
Subject: | Financial data | Random coefficient autoregressions | Recursive estimation | Spectral density | Squared process |
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