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Volumn , Issue , 2007, Pages

ARCH parameter estimation via constrained two stage least squares method

Author keywords

[No Author keywords available]

Indexed keywords

ARCHES; BLOCK CODES; CURVE FITTING; GEODESY; LEAST SQUARES APPROXIMATIONS; MAXIMUM LIKELIHOOD; MODEL STRUCTURES; PARAMETER ESTIMATION; SIGNAL PROCESSING; STAGES;

EID: 51549121689     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ISSPA.2007.4555429     Document Type: Conference Paper
Times cited : (8)

References (9)
  • 1
    • 0001711056 scopus 로고
    • ARCH models
    • eds R. F. Engle and D. C. McEaddea, Amsterdam: North-Holland
    • R. F. Engle and D. B. Nelson, "ARCH models. In Handbook of Econometrics," (eds R. F. Engle and D. C. McEaddea), Vol. IV. Amsterdam: North-Holland, 1994.
    • (1994) Handbook of Econometrics , vol.4
    • Engle, R.F.1    Nelson, D.B.2
  • 2
    • 34848900983 scopus 로고
    • ARCH modeling in finance; a review of the theory and empirical evidence
    • T. Bollerslev, R. Y. Chou, and K. F. Kroner, "ARCH modeling in finance; a review of the theory and empirical evidence," J. Econometrics 52, 5-59, 1992.
    • (1992) J. Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 3
    • 84993867944 scopus 로고
    • ARCH models: Properties, estimation and testing
    • A. K. Bera, and M. L. Higgins, "ARCH models: properties, estimation and testing," J. Economic Surveys 7, 305-66, 1993.
    • (1993) J. Economic Surveys , vol.7 , pp. 305-366
    • Bera, A.K.1    Higgins, M.L.2
  • 4
    • 0001790102 scopus 로고    scopus 로고
    • Statistical aspects of ARCH and stochastic volatility
    • eds D. R Cox, D. V. Hinkleyand O. E. Barndorff-Nielsen, London: Chapman & Hall
    • N. Shephard, "Statistical aspects of ARCH and stochastic volatility. In Time Series Models in Econometric, Finance and Other Fields," (eds D. R Cox, D. V. Hinkleyand O. E. Barndorff-Nielsen), London: Chapman & Hall, 1-67, 1996.
    • (1996) Time Series Models in Econometric, Finance and Other Fields , pp. 1-67
    • Shephard, N.1
  • 6
    • 3042710804 scopus 로고    scopus 로고
    • Estimation and testing for the parameters of Arch(q) under ordered restriction
    • D. Wang, L. Song, and N. Shi, "Estimation and testing for the parameters of Arch(q) under ordered restriction," Journal Of Time Series Analysis Vol. 25, No.4, 2004.
    • (2004) Journal Of Time Series Analysis , vol.25 , Issue.4
    • Wang, D.1    Song, L.2    Shi, N.3
  • 7
    • 0141991810 scopus 로고    scopus 로고
    • Estimating the arch parameters by solving linear equations
    • A. Bose, and K. Mukherjee, "Estimating the arch parameters by solving linear equations," Journal of Time Series Analysis Vol.24, No.2, 2003.
    • (2003) Journal of Time Series Analysis , vol.24 , Issue.2
    • Bose, A.1    Mukherjee, K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.