In-sample bounds for time-varying parameters of observation driven models
Year of publication: |
2015
|
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Łasak, Katarzyna ; Lucas, André |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | autoregressive conditional duration | delta-method | generalized autoregressive conditional heteroskedasticity | score driven models | time-varying mean | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price |
Extent: | Online-Ressource (29 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-027 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/107892 [Handle] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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