RCA models with correlated errors

DOI10.1016/J.AML.2005.11.003MaRDI QIDQ2371063zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

correlated GARCH modelscorrelated RCA modelskurtosismoments properties

Mathematics Subject Classification ID

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

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 2230444 (Why is no real title available?)
• Prediction via estimating functions
• Random coefficient autoregression, regime switching and long memory
• Random coefficient autoregressive models: an introduction
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Random coefficient GARCH models

Cited in

(8)

• Properties of a new family of volatility sign models
• Combined estimating function for random coefficient models with correlated errors
• Forecast accuracy and effort: the case of US inflation rates
• RCA model with quadratic GARCH innovation distribution
• Mellin's transform and application to some time series models
• On the sample variance of explosive random coefficient autoregressive processes
• Multiple cause model with autocorrelated errors: a gain in efficiency analysis
• Recent developments in volatility modeling and applications

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