Modelling Economic Time Series in the Presence of Variance Non-Stationarity: A Practical Approach
Year of publication: |
2003-11
|
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Authors: | Milionis, Alexandros E. |
Institutions: | Bank of Greece |
Subject: | Applied time series analysis | economic time series | Box-Jenkins modelling | variance non-stationarity | conditional variance | outlier analysis | efficient market hypothesis |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Applied Financial Economics, 2004, 14 (4), pp. 265-278. Titled "The Importance of Variance Stationarity in Economic Time Series Modelling. A Practical Approach". Number 07 30 pages |
Classification: | C22 - Time-Series Models |
Source: |
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