Meddahi, Nour - Econometric Society - 2004
observable variables and includes ARMA and GARCH models, while the second one is based on latent variables and includes state … limitation is that it imposes some indirect restrictions that are not desirable. For instance a GARCH model, which captures … between ARMA (or GARCH) and state space (SV) models. We apply our approach in two examples. In the first one, we deal with …