Estimating multivariate ARCH parameters by two-stage least-squares method
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Publication:1016830
DOI10.1016/J.SIGPRO.2008.11.012zbMATH Open1161.94350OpenAlexW2034675548MaRDI QIDQ1016830FDOQ1016830
Saman Mousazadeh, Mahmood Karimi
Publication date: 14 May 2009
Published in: Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sigpro.2008.11.012
Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Estimation and detection in stochastic control theory (93E10)
Cites Work
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- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Nonlinear time series. Nonparametric and parametric methods
- ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
- Introduction to the Mathematical and Satistical Foundations of Econometrics
- A Note on Diagnosing Multivariate Conditional Heteroscedasticity Models
- Underwater noise modeling and direction-finding based on heteroscedastic time series
- Speech spectral modeling and enhancement based on autoregressive conditional heteroscedasticity models
Cited In (6)
- Filtering-based multistage recursive identification algorithm for an input nonlinear output-error autoregressive system by using the key term separation technique
- Order selection criteria for vector autoregressive models
- Two-stage recursive least squares parameter estimation algorithm for output error models
- Normalized least-squares estimation in time-varying ARCH models
- Data filtering-based least squares iterative algorithm for Hammerstein nonlinear systems by using the model decomposition
- A Weighted Linear Estimator of Multivariate ARCH Parameters
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