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

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)

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Cites work

• scientific article; zbMATH DE number 2230444 (Why is no real title available?)
• 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
• Prediction via estimating functions
• RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
• Random coefficient GARCH models
• Random coefficient autoregression, regime switching and long memory
• Random coefficient autoregressive models: an introduction

Cited in

(8)

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

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