Nonlinear Dynamic Structures

DOI10.2307/2951766zbMath0780.62100OpenAlexW1993117258MaRDI QIDQ3142743

Peter E. Rossi, A. Ronald Gallant, George Tauchen

Publication date: 2 February 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10161/1875

zbMATH Keywords

damping persistence conditional expectation nonlinear time series leverage effect trading volume bootstrap methods baseline profiles composite price index conditional moment profiles daily NYSE transactions financial market volatility impulse-response analysis one- step ahead conditional density perturbation experiments price shocks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

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