Nonparametric Time Series Analysis of the Conditional Mean and Volatility Functions for the COP/USD Exchange Rate Returns
The modeling and estimation of the conditional volatility associated with a stochastic process usually have been based on parametric ARCH-type and stochastic volatility models. These time series models are very powerful in representing the dynamic stochastic properties of the data generating process...
Збережено в:
| Опубліковано в:: | Revista Colombiana de Estadística |
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| Автори: | , |
| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Universidad Nacional de Colombia
2010
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| Предмети: | |
| Онлайн доступ: | https://www.redalyc.org/articulo.oa?id=89915370003 |
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