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Heteroscedastic modelling via the autoregressive conditional variance subspace |
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| Authors: | Jin‐Hong Park S. Yaser Samadi |
| Affiliation: | 1. Department of Mathematics, College of Charleston, Charleston, SC, USA;2. Department of Statistics, University of Georgia, Athens, GA, USA |
| Abstract: | |
| Keywords: | Autoregressive central variance subspace Autoregressive conditional heteroscedasticity financial time series Kernel method modified information criterion MSC 2010: Primary 62M10 secondary 62G07 |