McCracken, Michael W. (contributor); … - 2001 - [Elektronische Ressource], rev
.
The remaining terms, S
ff
, S
fh
and S
hh
require a bit more knowledge of the data that is being used. At times …, however, are based upon knowledge that the disturbances
are i.i.d. and conditionally homoskedastic. If the disturbances are …