Local scale models: state space alternative to integrated GARCH processes

Podobne zapisy

• Local Scale Models: State Space Alternative to Integrated GARCH Processes.
  od: Shephard, N
  Wydane: (1994)
• Exact score for time series models in state space form
  od: Koopman, S, i wsp.
  Wydane: (1992)
• Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models
  od: Pitt, M, i wsp.
  Wydane: (1999)
• Inference for adaptive time series models: stochastic volatility and conditionally Gaussian state space form
  od: Bos, C, i wsp.
  Wydane: (2006)
• Statistical algorithms for models in state space form using SsfPack 2.2
  od: Koopman, S, i wsp.
  Wydane: (1999)