Generalized ARMA models with martingale difference errors
Tingguo Zheng, Han Xiao, Rong Chen
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Zheng, Tingguo ; Xiao, Han ; Chen, Rong |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 189.2015, 2, p. 492-506
|
| Subject: | Beta time series | Ergodicity | Gamma time series | Gaussian pseudo-likelihood | Realized volatility | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | ARMA-Modell | ARMA model | Martingal | Martingale | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.03.040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011504639