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...

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Bibliografiske detaljer
Hovedforfatter:	Shephard, N
Format:	Journal article
Sprog:	English
Udgivet:	Elsevier 1994
Fag:	Econometrics Economics

Lignende værker

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