ListarUJI: Investigación por tema "state-space representation"
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Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach
Taylor & Francis (2017-06-05)We propose a state-space approach for GARCH models with time-varying parameters able to deal with non-stationarity that is usually observed in a wide variety of time series. The parameters of the non-stationary model are ...