Multivariate Stochastic Variance Models.
Changes in variance, or volatility, over time can be modeled using the approach based on autoregressive conditional heteroscedasticity. Another approach is to model variance as an unobserved stochastic process. Although it is not easy to obtain the exact likelihood function for such stochastic varia...
| Main Authors: | , , |
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| 格式: | Journal article |
| 语言: | English |
| 出版: |
1994
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