Unobserved component time series models with Arch disturbances
暂无分享,去创建一个
[1] R. Baillie,et al. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES , 1991 .
[2] Alex Kane,et al. Measuring Risk Aversion from Excess Returns on a Stock Index , 1991 .
[3] Daniel B. Nelson. Stationarity and Persistence in the GARCH(1,1) Model , 1990, Econometric Theory.
[4] Andrew C. Harvey,et al. Forecasting, structural time series models and the Kalman filter: Selected answers to exercises , 1990 .
[5] R. Baillie,et al. The Message in Daily Exchange Rates , 1989 .
[6] T. Bollerslev,et al. ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS , 1988 .
[7] T. Bollerslev,et al. A CONDITIONALLY HETEROSKEDASTIC TIME SERIES MODEL FOR SPECULATIVE PRICES AND RATES OF RETURN , 1987 .
[8] J. Poterba,et al. Mean Reversion in Stock Prices: Evidence and Implications , 1987 .
[9] Russell P. Robins,et al. Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model , 1987 .
[10] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[11] A. A. Weiss. ARMA MODELS WITH ARCH ERRORS , 1984 .
[12] A. I. McLeod,et al. DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS , 1983 .
[13] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[14] R. Engle,et al. A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates , 1981 .
[15] S. Ross. The arbitrage theory of capital asset pricing , 1976 .
[16] A. Zellner. An Introduction to Bayesian Inference in Econometrics , 1971 .
[17] H. Iemoto. Modelling the persistence of conditional variances , 1986 .
[18] F. Diebold,et al. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model , 1986 .
[19] A. Milhøj. The moment structure of ARCH processes , 1985 .
[20] Agustín Maravall,et al. An Application of Nonlinear Time Series Forecasting , 1983 .
[21] Donald Poskitt,et al. Testing the specification of a fitted autoregressive-moving average model , 1980 .