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Volumn 13, Issue 2, 2007, Pages 389-422

A recursive online algorithm for the estimation of time-varying ARCH parameters

Author keywords

Locally stationary; Recursive online algorithms; Time varying ARCH process

Indexed keywords


EID: 37549031844     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/07-BEJ5009     Document Type: Article
Times cited : (21)

References (15)
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    • A recursive online algorithm for the estimation of time-varying ARCH parameters
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    • Statistical inference for time-varying ARCH processes
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    • Dahlhaus, R.1    Subba Rao, S.2
  • 5
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    • Mikosch, T.1    Stǎricǎ, C.2
  • 10
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    • Non-stationarities in financial time series, the long-range dependence and the IGARCH effects
    • Mikosch, T. and Stiricǎ, C. (2004). Non-stationarities in financial time series, the long-range dependence and the IGARCH effects. Rev. Econometrics Statist. 86 378-390.
    • (2004) Rev. Econometrics Statist , vol.86 , pp. 378-390
    • Mikosch, T.1    Stiricǎ, C.2
  • 11
    • 33644917699 scopus 로고    scopus 로고
    • On recursive estimation for locally stationary time varying autoregressive rocesses
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  • 12
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.