The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance : the Case of Lucas Hypothesis
Year of publication: |
[2010]
|
---|---|
Authors: | Nelson, Charles R. |
Other Persons: | Kim, Chang-Jin (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Metallmarkt | Metal market |
Extent: | 1 Online-Ressource (34 p) |
---|---|
Series: | NBER Working Paper ; No. t0070 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1988 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Construction of an SDE model from intraday copper futures prices
Mastroeni, Loretta, (2022)
-
Natural resource prices : will they ever turn up?
Berck, Peter, (1995)
-
Phillips, Peter C. B., (1991)
- More ...
-
Kim, Chang-jin, (2015)
-
State-space models with regime switching : classical and Gibbs-sampling approaches with applications
Kim, Chang-jin, (1999)
-
Why are stock returns and volatility negatively correlated?
Bae, Jinho, (2007)
- More ...