Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "aggregation"
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Aggregations and Marginalization of GARCH and Stochastic Volatility Models
(Université de Montréal. Département de sciences économiques., 1998)The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger ...