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Simon Mathieu


Active since 2018

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Null hypothesis DoF parameter estimation
Hey guys, I know I already asked a question regarding this topic, but something still isn't clear. When we estimate an ARMA ...

5 years ago | 0 answers | 0

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Question


Student t distribution in ARMA-GARCH model
Hi everyone, My director and I are disagreeing on something. I estimate ARMA-GARCH models using the Student t distribution. Wh...

5 years ago | 0 answers | 0

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Question


Standard error of an Unconditional Variance?
Hi there, I am estimating an ARMA model on currency exchange returns. The output shows the variance (obviously the unconditio...

5 years ago | 1 answer | 0

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