مرکز منطقه ای اطلاع رساني علوم و فناوري - Moving average conditional heteroskedastic processes

Title of article :

Moving average conditional heteroskedastic processes

Author/Authors :

Minxian، نويسنده , , Yang; Bewley، نويسنده , , Ronald ، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 1995

Pages :

From page :

367

To page :

372

Abstract :

MACH processes are proposed to model volatile time series where effects of shocks on conditional variance are transitory.

Keywords :

Time series: \יo/atiltt\י: (יonditlonal VanaI1Cl:

Journal title :

Economics Letters

Serial Year :

1995

Journal title :

Economics Letters

Record number :

434009

Link To Document :