Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Dong Li, Shaojun Guo, and Ke Zhu
| Year of publication: |
2019
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|---|---|
| Authors: | Li, Dong ; Shaojun, Guo ; Zhu, Ke |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 38.2019, 3, p. 319-331
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| Subject: | DAR model | DARWIN model | geometric Brownian motion | heteroscedasticity | Lyapunov exponent | nonstationary time series | ordinary oscillation | quasi-maximum likelihood estimation | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2017.1310080 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181294