Estimation of multiple time series with volatility.
Abstract (Volatility episodes in a multiple times series exert influence on the parameter estimates that will significantly reduce model fit for the non-volatile parts. Assuming a multiple time series with common autoregressive parameter, a combination of block bootstrap and forward search algorithm...
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| Materyal Türü: | Tez |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Quezon City
University of the Philippines
2015.
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