Generalized dynamic linear models for financial time series

Campagnoli, Patrizia, Muliere, Pietro, Petrone, Sonia . Applied Stochastic Models in Business and Industry 2001. 17 (1) :27-39

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Bibtex

@article{CIS-170899,
  Author = {Campagnoli, Patrizia and Muliere, Pietro and Petrone, Sonia},
  Title = {Generalized dynamic linear models for financial time series},
  Journal = {Applied Stochastic Models in Business and Industry},
  Volume = {17},
  Number = {1},
  Year = {2001},
  Pages = {27--39},
  Keywords = {Kalman filter, GARCH models, generalized autoregressive conditional heteroscedasticity, Stochastic volatility, inference and prediction on financial risk management, conditionally Gaussian models, stochastic regressors}
}

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