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Volumn 14, Issue 6, 1998, Pages 744-769

Testing for embeddability by stationary reversible continuous-time markov processes

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EID: 0032263222     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466698146029     Document Type: Article
Times cited : (14)

References (27)
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    • A note on embedding a discrete parameter ARMA model in a continuous parameter ARMA model
    • Chan, K.S. & H. Tong (1987) A note on embedding a discrete parameter ARMA model in a continuous parameter ARMA model. Journal of Time Series Analysis 8, 3.
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    • Chan, K.S.1    Tong, H.2
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    • Mobility indices in continuous-time Markov chains
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    • Geweke, J.1    Marshall, R.C.2    Zarkin, G.A.3
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    • Hansen, L.P.1    Scheinkman, J.A.2
  • 17
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  • 19
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    • Stochastic volatility: Likelihood inference and comparison with ARCH models
    • Forthcoming
    • Kim, S., N. Shephard, & S. Chib (1996) Stochastic volatility: Likelihood inference and comparison with ARCH models. Review of Economic Studies. Forthcoming.
    • (1996) Review of Economic Studies
    • Kim, S.1    Shephard, N.2    Chib, S.3
  • 21
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    • ARCH models as diffusion approximations
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  • 22
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  • 26
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    • Statistical aspects of ARCH and stochastic volatility
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    • Shephard, N. (1996) Statistical aspects of ARCH and stochastic volatility. In D.R. Cox, O.E. Barndorff-Nielson, & D.V. Hinkley (eds.), Time Series Models in Econometrics, Finance and Other Fields, pp. 1-67. London: Chapman and Hall.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.