Effects of Level Outliers on the Identification and Estimation of GARCH Models
Year of publication: |
2004-08-11
|
---|---|
Authors: | Ruiz, E. ; Carnero, M.A. ; Pereira, D. |
Institutions: | Econometric Society |
Subject: | Autocorrelations | Heteroscedasticity testing | Maximum Likelihood | Ordinary Least Squares |
-
Moments of the ARMA-EGARCH Model
Karanasos, Menelaos,
-
Estimating autocorrelations in the presence of deterministic trends
Wang, Shin-Huei, (2008)
-
Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert, (2015)
- More ...
-
Wagner, Joachim, (1989)
-
Advances in economics and econometrics: theory and applications ; Vol. 1
Kreps, David M., (1997)
-
Advances in economics and econometrics: theory and applications ; Vol. 2
Kreps, David M., (1997)
- More ...