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Синтез та адаптивне настроювання моделей GARCH для прогнозування дисперсій гетероскедастичних процесів з різнотемповою дискретизацією

Theoretical propositions concerning design of GARCH models for forecasting conditional dispersions of heteroscedastic processes under discretization of input disturbances with small sampling periods and output coordinates with large ones are considered. The dynamics of processes in a stochastic medi...

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Bibliographic Details
Date:2017
Main Authors: Romanenko, V. D., Bilyi, O. V.
Format: Article
Language:Russian
Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2017
Online Access:http://journal.iasa.kpi.ua/article/view/109779
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Journal Title:System research and information technologies

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System research and information technologies

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