RCA models with correlated errors

DOI10.1016/j.aml.2005.11.003zbMath1390.62172MaRDI 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

kurtosis; correlated GARCH models; correlated RCA models; moments properties

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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