Unobserved component models with asymmetric conditional variances
نویسندگان
چکیده
منابع مشابه
Unobserved component models with asymmetric conditional variances
Unobserved component models with GARCH disturbances are extended to allow for asymmetric responses of conditional variances to positive and negative shocks. The asymmetric conditional variance is represented by a member of the QARCH class of models. The proposed model allows to distinguish whether the possibly asymmetric conditional heteroscedasticity affects the short-run or the long-run distu...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2006
ISSN: 0167-9473
DOI: 10.1016/j.csda.2004.12.009