ARMA representation of squared Markov switching heteroskedastic models - solution
Year of publication: |
2003
|
---|---|
Authors: | Distaso, Walter |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 19.2003, 2, p. 412-413
|
Subject: | Markov-Kette | Markov chain | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity |
-
Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles, (2003)
-
Bauer, Dietmar, (2008)
-
Cavaliere, Giuseppe, (2014)
- More ...
-
Predictive inference for integrated volatility
Corradi, Valentina, (2006)
-
Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina, (2006)
-
Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina, (2009)
- More ...