Learning from the past, predicting the statistics for the future, learning an evolving system
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References listed on IDEAS
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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- repec:bla:jorssa:v:180:y:2017:i:2:p:353-407 is not listed on IDEAS
- Lajos Gergely Gyurk'o & Terry Lyons & Mark Kontkowski & Jonathan Field, 2013. "Extracting information from the signature of a financial data stream," Papers 1307.7244, arXiv.org, revised Jul 2014.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-06 (All new papers)
- NEP-CWA-2013-09-06 (Central & Western Asia)
- NEP-ECM-2013-09-06 (Econometrics)
- NEP-FOR-2013-09-06 (Forecasting)
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