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Multivariate modelling of the autoregressive random variance process
Home
Publications
Multivariate modelling of the autoregressive random variance process
Multivariate modelling of the autoregressive random variance process
Authors:
MS
Mike K. P. So
Mike K. P. So
WL
W. K. Li
W. K. Li
KL
K. Lam
K. Lam
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1 July 1997
journal article
Published by
Wiley
in
Journal of Time Series Analysis
Vol. 18
(4)
,
429-446
DOI:
10.1111/1467-9892.00060
Abstract
No abstract available
Keywords
AUTOREGRESSIVE RANDOM VARIANCE PROCESS
EM ALGORITHM
OBSERVED INFORMATION MATRIX
STOCHASTIC VOLATILITY
Cited
Cited by 27 articles
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