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...
| Autor principal: | |
|---|---|
| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Elsevier
1994
|
| Assuntos: |
Search Result 1
Local Scale Models: State Space Alternative to Integrated GARCH Processes.
Publicado em 1994
Journal article