Open AccessFunctional ARCH and GARCH models: A Yule-Walker approach
Author(s) -
Sebastian Kühnert
Publication year - 2020
Publication title -
electronic journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.482
H-Index - 54
ISSN - 1935-7524
DOI - 10.1214/20-ejs1778
Subject(s) - arch , mathematics , heteroscedasticity , linear subspace , autoregressive conditional heteroskedasticity , invertible matrix , pure mathematics , mathematical analysis , calculus (dental) , econometrics , volatility (finance) , medicine , civil engineering , dentistry , engineering