منابع مشابه
Bilinear Garch Time Series Models
In this paper the class of BL-GARCH (Bilinear General AutoregRessive Conditional Heteroskedasticity) models is introduced. The proposed model is a modification to the BL-GARCH model proposed by Storti and Vitale (2003). Stationary conditions and autocorrelation structure for special cases of these new models are derived. Maximum likelihood estimation of the model is also considered. Some simula...
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متن کاملon the stationary probability density function of bilinear time series models: a numerical approach
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 1987
ISSN: 0143-9782,1467-9892
DOI: 10.1111/j.1467-9892.1987.tb00434.x