Local scale models: state space alternative to integrated GARCH processes

Local scale models: state space alternative to integrated GARCH processes

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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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur:	Shephard, N
Fformat:	Journal article
Iaith:	English
Cyhoeddwyd:	Elsevier 1994
Pynciau:	Econometrics Economics

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