Autoregressive conditional heteroskedasticity and changes in regime
- Author
- HAMILTON, J. D1 ; SUSMEL, R
[1] Univ. California San Diego, dep. economics, La Jolla CA 92093-0508, United States - Source
Journal of econometrics. 1994, Vol 64, Num 1-2, pp 307-333 ; ref : 1 p.1/2
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Keyword (fr)
- Bourse valeurs Chaîne Markov Fonction vraisemblance Hétéroscedasticité Loi Student Loi normale Modèle ARCH Prix Prédiction Innovation latente Modèle commutation régime Valatilité
- Keyword (en)
- Stock exchange Markov chain Likelihood function Heteroscedasticity Student distribution Gaussian distribution ARCH model Price Prediction
- Keyword (es)
- Bolsa valores Cadena Markov Función verosimilitud Heteroscedasticidad Ley Student Curva Gauss Modelo ARCH Precio Predicción
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N1 Reliability, life testing, quality control
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N3 Biology, psychology, social sciences
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N4 Medical sciences
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 3504688
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/0304-4076(94)90067-1 
https://dx.doi.org/10.1016/0304-4076(94)90067-1
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