Functional Generalized Autoregressive Conditional Heteroskedasticity

Aue, A; Horvath, L; Pellatt, DF

Aue, A (reprint author), Univ Calif Davis, Dept Stat, Davis, CA 95616 USA.

JOURNAL OF TIME SERIES ANALYSIS, 2017; 38 (1): 3

Abstract

Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of autoregress......

Full Text Link