Heteroscedastic modelling via the autoregressive conditional variance subspace
DOI10.1002/CJS.11222zbMATH Open1297.62193OpenAlexW2082220318MaRDI QIDQ2925554FDOQ2925554
Jin-Hong Park, S. Yaser Samadi
Publication date: 16 October 2014
Published in: The Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.11222
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Cites Work
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Cited In (7)
- Stacking-based neural network for nonlinear time series analysis
- Dimension reduction in time series under the presence of conditional heteroscedasticity
- Reduced-Rank Envelope Vector Autoregressive Model
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- THE RECURSIVE FITTING OF SUBSET VARX MODELS
- On a matrix-valued autoregressive model
- Scaled envelope models for multivariate time series
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