Unobserved components in ARCH models: An application to seasonal adjustment

[1]  J. Burman Seasonal Adjustment by Signal Extraction , 1980 .

[2]  A. Harvey,et al.  Unobserved component time series models with Arch disturbances , 1992 .

[3]  David A. Pierce,et al.  Signal Extraction Error in Nonstationary Time Series , 1979 .

[4]  G. C. Tiao,et al.  Estimation of time series parameters in the presence of outliers , 1988 .

[5]  R. Baillie,et al.  INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES , 1991 .

[6]  A. I. McLeod,et al.  DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS , 1983 .

[7]  R. Engle Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[8]  R. Tsay Time Series Model Specification in the Presence of Outliers , 1986 .

[9]  Steven C. Hillmer,et al.  An ARIMA-Model-Based Approach to Seasonal Adjustment , 1982 .

[10]  A. Harvey,et al.  Diagnostic Checking of Unobserved-Components Time Series Models , 1992 .

[11]  R. Baillie,et al.  Prediction in dynamic models with time-dependent conditional variances , 1992 .

[12]  E. Hannan,et al.  Recursive estimation of mixed autoregressive-moving average order , 1982 .

[13]  T. Bollerslev,et al.  ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS , 1988 .

[14]  A. A. Weiss ARMA MODELS WITH ARCH ERRORS , 1984 .

[15]  R. Baillie,et al.  The Message in Daily Exchange Rates , 1989 .

[16]  G. Fiorentini,et al.  Conditional Heteroskedasticity in Nonlinear Simultaneous Equations , 1994 .

[17]  G. Box,et al.  On a measure of lack of fit in time series models , 1978 .

[18]  David A. Pierce,et al.  Data revisions with moving average seasonal adjustment procedures , 1980 .

[19]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[20]  Lon-Mu Liu,et al.  Joint Estimation of Model Parameters and Outlier Effects in Time Series , 1993 .

[21]  Steven C. Hillmer,et al.  Analysis and Modeling of Seasonal Time Series , 1978 .

[22]  D. A. Pierce Seasonal adjustment when both deterministic and stochastic seasonality are present , 1978 .

[23]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1972 .

[24]  G. C. Tiao,et al.  Decomposition of Seasonal Time Series: A Model for the Census X-11 Program , 1976 .

[25]  W. Bell,et al.  Signal Extraction for Nonstationary Time Series , 1984 .

[26]  Agustín Maravall,et al.  An Application of Nonlinear Time Series Forecasting , 1983 .