Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/92581 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
ISER Discussion Paper No. 545
Verlag: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
Zusammenfassung: 
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and nonstationary ARMA-GARCH are summarized. Various new ARCH-type models, including double threshold ARCH and GARCH, ARFIMA-GARCH, CHARMA and vector ARMA-GARCH, are also reviewed.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
865.51 kB





Publikationen in EconStor sind urheberrechtlich geschützt.