Prediction in ARMA models with Garch in mean effects

Journal of Time Series Analysis

Volumn 22, Issue 5, 2001, Pages 555-576

  Karanasos, Menelaos ^a  

^a UNIVERSITY OF YORK   (United Kingdom)

Author keywords

ARMA model; Autocovariances; GARCH in mean effects; Optimal predictor

Indexed keywords

EID: 0041077272     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00241     Document Type: Article

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