Regression with Nonstationary Volatility (Q4859504)
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scientific article; zbMATH DE number 829941
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Regression with Nonstationary Volatility |
scientific article; zbMATH DE number 829941 |
Statements
Regression with Nonstationary Volatility (English)
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1 February 1996
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conditional heteroskedasticity
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integrated processes
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stochastic integrals
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new asymptotic theory of regression
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nonstationary time series
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linear process
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martingale difference innovations
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conditional variances
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autoregressive stochastic volatility processes
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autoregressive roots
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least squares estimates
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adaptive estimator
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generalized least squares estimator
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0.8640877604484558
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0.8108596801757812
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0.8071173429489136
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0.8029006123542786
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