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...

詳細記述

書誌詳細
第一著者: Shephard, N
フォーマット: Journal article
言語:English
出版事項: Elsevier 1994
主題: