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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| Aineistotyyppi: | Journal article |
| Kieli: | English |
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Elsevier
1994
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Local Scale Models: State Space Alternative to Integrated GARCH Processes.
Julkaistu 1994
Journal article