Unobserved component models with asymmetric conditional variances

Computational Statistics and Data Analysis

Volumn 50, Issue 9, 2006, Pages 2146-2166

  Broto, Carmen ^a,b   Ruiz, Esther ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b BBVA University Institute for Economic and Social Analysis University of Alcalá   (Spain)

Author keywords

Auxiliary residuals; Financial series; GARCH; Inflation; Leverage effect; QARCH; Structural time series models

Indexed keywords

ESTIMATION; SHOCK WAVES; TIME SERIES ANALYSIS;

AUXILIARY RESIDUALS; FINANCIAL SERIES; GARCH; INFLATION; LEVERAGE EFFECT; STRUCTURAL TIME SERIES MODELS;

MATHEMATICAL MODELS;

EID: 33644648340     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.12.009     Document Type: Article

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