A note on GARCH model identification-Reference-Cited by-同舟云学术

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A note on GARCH model identification

Published:2008-06 Issue:11 Volume:55 Page:2469-2475
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Ghahramani M.,Thavaneswaran A.

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference16 articles.

1. Time Series Analysis: Forecasting and Control;Box,1976

2. C.W.J. Granger, Overview of non-linear time series specification in Economics, in: Berkeley NSF-Symposia, 1998

3. Random coefficient GARCH models;Thavaneswaran;Mathematics & Computer Modelling,2005

4. Random Coefficient Autoregressive Models: An Introduction;Nicholls,1982

5. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation;Engle;Econometrica,1982

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