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Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10012180698

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - 2015

stationary process to have a spectral density function, wavelets can represent both stationary and nonstationary processes. As …

Persistent link: https://www.econbiz.de/10011382237

Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

Jensen, Mark J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 455-475

Persistent link: https://www.econbiz.de/10011649139

Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity

Li, Dong; Shaojun, Guo; Zhu, Ke - In: Econometric reviews 38 (2019) 3, pp. 319-331

Persistent link: https://www.econbiz.de/10012181294

Moving average conditional heteroscedastic processes

Yang, Minxian; Bewley, Ronald A. - 1992

Persistent link: https://www.econbiz.de/10000840782

Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term

Dogan, Osman - 2014

In this study, I investigate the necessary condition for consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...

Persistent link: https://www.econbiz.de/10014157525

Prediction intervals in conditionally heteroscedastic time series with stochastic components

Pellegrini, Santiago; Ruiz, Esther; Espasa Terrades, Antoni - In: International journal of forecasting 27 (2011) 2, pp. 308-319

Persistent link: https://www.econbiz.de/10009247501

Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes

Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547

Persistent link: https://www.econbiz.de/10011663340

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10011594405

Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR

Irfan, Mohammad; Irfan, Maria; Awais, Muhammad - In: International journal of economic perspectives : IJEP 4 (2010) 4, pp. 635-654

Persistent link: https://www.econbiz.de/10011587802