SCOPUS 정보 검색 플랫폼

Volumn 22, Issue 1, 2009, Pages 110-114

RCA models with GARCH innovations

Author keywords

Garch processes; Kurtosis; Non normal; RCA models; Time varying volatility

Indexed keywords

ECONOMIC ANALYSIS; MODEL STRUCTURES;

GARCH PROCESSES; KURTOSIS; NON-NORMAL; RCA MODELS; TIME VARYING VOLATILITY;

TIME SERIES ANALYSIS;

EID: 55649121387 PISSN: 08939659 EISSN: None Source Type: Journal
DOI: 10.1016/j.aml.2008.02.015 Document Type: Article

Times cited : (8)

References (11)

1
- 0038703451
- A nonlinear time series model and estimation of missing observations
- Abraham B., and Thavaneswaran A. A nonlinear time series model and estimation of missing observations. Ann. Inst. Statist. Math. 43 (1991) 493-504
- (1991) Ann. Inst. Statist. Math. , vol.43 , pp. 493-504
- Abraham, B.¹ Thavaneswaran, A.²

2
- 55649094558
- C.W.J. Granger, Overview of non-linear time series specification in Economics, Berkeley NSF-Symposia, 1998
- C.W.J. Granger, Overview of non-linear time series specification in Economics, Berkeley NSF-Symposia, 1998

3
- 0003210763
- Springer, New York
- Nicholls D.F., and Quinn B.G. Random Coefficient Autoregressive Models: An Introduction. Lecture Notes in Statistics vol. 11 (1982), Springer, New York
- (1982) Lecture Notes in Statistics , vol.11
- Nicholls, D.F.¹ Quinn, B.G.²

4
- 0000051984
- Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
- Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50 (1982) 987-1008
- (1982) Econometrica , vol.50 , pp. 987-1008
- Engle, R.F.¹

5
- 42449156579
- Generalized autoregressive conditional heteroscedasticity
- Bollerslev T. Generalized autoregressive conditional heteroscedasticity. J. Econometrics 31 (1986) 307-327
- (1986) J. Econometrics , vol.31 , pp. 307-327
- Bollerslev, T.¹

6
- 23244433550
- Random coefficient GARCH models
- Thavaneswaran A., Appadoo S.S., and Samanta M. Random coefficient GARCH models. Math. Comput. Modelling 41 6-7 (2005) 723-733
- (2005) Math. Comput. Modelling , vol.41 , Issue.6-7 , pp. 723-733
- Thavaneswaran, A.¹ Appadoo, S.S.² Samanta, M.³

7
- 3042681138
- Strong approximation for RCA(1) time series with applications
- Aue A. Strong approximation for RCA(1) time series with applications. Statist. Probab. Lett. 68 (2004) 369-382
- (2004) Statist. Probab. Lett. , vol.68 , pp. 369-382
- Aue, A.¹

8
- 0042881131
- Random Coefficient Autoregression, regime switching and long memory
- Leipus R., and Surgallis D. Random Coefficient Autoregression, regime switching and long memory. Adv. in Appl. Probab. 35 (2003) 737-754
- (2003) Adv. in Appl. Probab. , vol.35 , pp. 737-754
- Leipus, R.¹ Surgallis, D.²

9
- 33947632307
- Identification of ARMA models with GARCH Errors
- Ghahramani M., and Thavaneswaran A. Identification of ARMA models with GARCH Errors. Math. Sci. 32 (2007) 60-69
- (2007) Math. Sci. , vol.32 , pp. 60-69
- Ghahramani, M.¹ Thavaneswaran, A.²

10
- 33646035572
- Moment properties of some time series models
- Appadoo S.S., Ghahramani M., and Thavaneswaran A. Moment properties of some time series models. Math. Sci. 30 1 (2005) 50-63
- (2005) Math. Sci. , vol.30 , Issue.1 , pp. 50-63
- Appadoo, S.S.¹ Ghahramani, M.² Thavaneswaran, A.³

11
- 84981440477
- Estimation of nonlinear time series models using estimating equations
- Thavaneswaran A., and Abraham B. Estimation of nonlinear time series models using estimating equations. J. Time Ser. Anal. 9 (1988) 99-108
- (1988) J. Time Ser. Anal. , vol.9 , pp. 99-108
- Thavaneswaran, A.¹ Abraham, B.²

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.