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  • Search: subject:"modèles structurels"
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ARMA representation 1 Moving-average roots 1 Two-factor models 1 continuous time stochastic volatility model 1 modèle en temps continu et à volatilité stochastique 1 modèles structurels 1 modèles à deux facteurs 1 racine moyenne-mobile 1 représentation ARMA 1 représentation GARCH faible 1 structural models 1 weak GARCH representation 1
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Free 1
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Book / Working Paper 1
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English 1
Author
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Meddahi, Nour 1
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
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CIRANO Working Papers 1
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RePEc 1
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ARMA Representation of Two-Factor Models
Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
Many financial time series models are specified through a structural representation. Nonetheless, knowing their reduced ARMA form may be useful for impulse response analysis, filtering, forecasting, and for purposes of statistical inference. This ARMA representation is the analytical...
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