Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity
Year of publication: |
2009
|
---|---|
Authors: | Pantelidis, Theologos ; Pittis, Nikitas |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 28.2009, 7, p. 612-630
|
Subject: | ARCH-Modell | ARCH model | Kointegration | Cointegration | Monte-Carlo-Simulation | Monte Carlo simulation | Prognoseverfahren | Forecasting model |
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