RCA models: Joint prediction of mean and volatility

This paper first describes moment properties for Random Coefficient Autoregressive (RCA) processes and the corresponding squared processes, and then studies joint prediction of the mean and volatility. Recursive estimates based on estimating functions are used to compute joint predictions for volumes of the NASDAQ index.

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Year of publication:	2013
Authors:	Liang, Y. ; Thavaneswaran, A. ; Ravishanker, N.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 527-533
Publisher:	Elsevier
Subject:	Financial data \| Random coefficient autoregressions \| Recursive estimation \| Spectral density \| Squared process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010602922