RCA models with correlated errors
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Publication:2371063
DOI10.1016/J.AML.2005.11.003zbMATH Open1390.62172OpenAlexW2006896414MaRDI QIDQ2371063FDOQ2371063
Authors: S. S. Appadoo, A. Thavaneswaran, J. Singh 
Publication date: 29 June 2007
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2005.11.003
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
- Random coefficient autoregression, regime switching and long memory
- Random coefficient autoregressive models: an introduction
- Prediction via estimating functions
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Random coefficient GARCH models
- Title not available (Why is that?)
Cited In (8)
- Recent developments in volatility modeling and applications
- Properties of a new family of volatility sign models
- RCA model with quadratic GARCH innovation distribution
- Mellin's transform and application to some time series models
- Forecast accuracy and effort: the case of US inflation rates
- Multiple cause model with autocorrelated errors: a gain in efficiency analysis
- On the sample variance of explosive random coefficient autoregressive processes
- Combined estimating function for random coefficient models with correlated errors
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