Effects of outliers on the identification and estimation of GARCH models.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 4, p. 471, doi. 10.1111/j.1467-9892.2006.00519.x
- By:
- Publication type:
- Article
Works matching IS 01439782 AND DT 2007 AND VI 28 AND IP 4
Results: 6
1
2
Embedding a Gaussian discrete-time autoregressive moving average process in a Gaussian continuous-time autoregressive moving average process.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 4, p. 498, doi. 10.1111/j.1467-9892.2006.00520.x
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- Publication type:
- Article
3
Contemporaneous aggregation of GARCH processes.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 4, p. 521, doi. 10.1111/j.1467-9892.2006.00522.x
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- Publication type:
- Article
4
Efficient estimation and inference in cointegrating regressions with structural change.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 4, p. 545, doi. 10.1111/j.1467-9892.2006.00524.x
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- Publication type:
- Article
5
Empirical likelihood confidence intervals for the mean of a long-range dependent process.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 4, p. 576, doi. 10.1111/j.1467-9892.2006.00526.x
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- Publication type:
- Article
6
The Periodogram of fractional processes.
- Published in:
- Journal of Time Series Analysis, 2007, v. 28, n. 4, p. 600, doi. 10.1111/j.1467-9892.2006.00527.x
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- Publication type:
- Article