Model indentification for infinite variance autoregressive processes
Year of publication: |
2013
|
---|---|
Authors: | Andrews, Beth ; Davis, Richard A. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 172.2013, 2, p. 222-234
|
Subject: | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory |
-
Moment estimators for autocorrelated time series and their application to default correlations
Frei, Christoph, (2018)
-
Benchmark forecast and error modeling
Chen, Zhao-Guo, (2017)
-
Statistical properties of microstructure noise
Jacod, Jean, (2017)
- More ...
-
Model identification for infinite variance autoregressive processes
Andrews, Beth, (2013)
-
Maximum likelihood estimation for all-pass time series models
Andrews, Beth, (2006)
-
Model identification for infinite variance autoregressive processes
Andrews, Beth, (2013)
- More ...