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Communications in Statistics - Simulation and Computation Volume 47, 2018 - Issue 2
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Original Articles

Self-weighted recursive estimation of GARCH models

Radek HendrychDepartment of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Prague, Czech RepublicCorrespondence[email protected]
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Tomáš CipraDepartment of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Prague, Czech RepublicView further author information
Pages 315-328 | Received 14 Sep 2014, Accepted 24 Feb 2015, Published online: 18 Dec 2017

References

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