Local scale models: state space alternative to integrated GARCH processes

State space alternative to autoregressive conditional heteroskedasticity models are proposed. The initial model, which is labelled the Gaussian local scale model, has a measurement density which is Gaussian, conditional on the unobservable precision. The precision is assumed to be a gamma variable w...

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Bibliografiska uppgifter
Huvudupphovsman: Shephard, N
Materialtyp: Journal article
Språk:English
Publicerad: Elsevier 1994
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