RCA models with GARCH innovations
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Publication:1027477
DOI10.1016/J.AML.2008.02.015zbMATH Open1163.91534OpenAlexW1973809332MaRDI QIDQ1027477FDOQ1027477
Authors: J. Blot 
Publication date: 29 June 2009
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2008.02.015
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Random coefficient autoregression, regime switching and long memory
- Random coefficient autoregressive models: an introduction
- Strong approximation for RCA(1) time series with applications
- A nonlinear time series model and estimation of missing observations
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Random coefficient GARCH models
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (11)
- Properties of a new family of volatility sign models
- Model order determination using the Hankel matrix of impulse responses
- An introduction to volatility models with indices
- RCA model with quadratic GARCH innovation distribution
- Inference for random coefficient volatility models
- Doubly stochastic models with GARCH innovations
- Mellin's transform and application to some time series models
- On some properties of autoregressive conditional Poisson (ACP) models
- RCA models: joint prediction of mean and volatility
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- RCA models with correlated errors
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