Details
Title
New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH ModelJournal title
Central European Journal of Economic Modelling and EconometricsYearbook
2021Issue
No 1Affiliation
Settar, Abdeljalil : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Fatmi, Nadia Idrissi : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Badaoui, Mohammed : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Badaoui, Mohammed : LaMSD, École Supérieure de Technologie (EST), Oujda, MoroccoAuthors
Keywords
GARCH ; Kalman filter ; conditional variance ; volatility ; quasimaximum likelihoodDivisions of PAS
Nauki Humanistyczne i SpołeczneCoverage
55-74Publisher
Oddział PAN w ŁodziBibliography
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