Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/4670
Title: Some statistical results on autoregressive conditionally heteroscedastic models
Authors: Gonçalves, Esmeralda 
Lopes, Nazaré Mendes 
Keywords: Conditionally heteroscedastic time series; White noise, stationarity; Arma models; Forecasting
Issue Date: 1998
Citation: Journal of Statistical Planning and Inference. 68:1 (1998) 193-202
Abstract: The aim of this paper is to present some statistical aspects of an order 1 autoregressive model with errors following a stationary and ergodic generalized threshold ARCH process. So, to analyse the precision of forecasts obtained with these models a probabilistic study will be done. Moreover, a consistent test for a general AR(1) model with errors following an ergodic white noise of null conditional median will be developed and adapted to our stochastic process.
URI: http://hdl.handle.net/10316/4670
Rights: openAccess
Appears in Collections:FCTUC Matemática - Artigos em Revistas Internacionais

Files in This Item:
File Description SizeFormat
fileaa08c2a63c344413b6daf9655073def8.pdf633.47 kBAdobe PDFView/Open
Show full item record

Page view(s) 50

315
checked on Sep 22, 2020

Download(s)

86
checked on Sep 22, 2020

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.