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Estimation in Conditionally Herteroscedastic Time Series Models (книга)

Estimation in Conditionally Herteroscedastic Time Series Models
Автор: Daniel Straumann
Оригинал издан: 2004

«Estimation in Conditionally Herteroscedastic Time Series Models»книга 2004 года.

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«Book DescriptionIn his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the…»

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