GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
نویسندگان
چکیده
منابع مشابه
Generalized Autoregressive Conditional Heteroskedasticity
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an e...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2008
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466608080614