RCA models with correlated errors

DOI10.1016/j.aml.2005.11.003zbMath1390.62172OpenAlexW2006896414MaRDI QIDQ2371063

S. S. Appadoo, A. Thavaneswaran, Jagbir 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

zbMATH Keywords

kurtosiscorrelated GARCH modelscorrelated RCA modelsmoments properties

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (6)

RCA model with quadratic GARCH innovation distribution ⋮ On the sample variance of explosive random coefficient autoregressive processes ⋮ Mellin's transform and application to some time series models ⋮ Recent developments in volatility modeling and applications ⋮ Combined estimating function for random coefficient models with correlated errors ⋮ Forecast accuracy and effort: The case of US inflation rates

Cites Work

• Random coefficient GARCH models
• Random coefficient autoregressive models: an introduction
• Prediction via estimating functions
• Generalized autoregressive conditional heteroscedasticity
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory
• Unnamed Item

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