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Generalized Autoregressive Moving Average Models

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Author Info
Benjamin M.A.
Rigby R.A.
Stasinopoulos D.M.
Abstract

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File URL: http://www.ingentaconnect.com/content/asa/jasa/2003/00000098/00000461/art00021
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Publisher Info
Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 98 (2003)
Issue (Month): (January)
Pages: 214-223
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Handle: RePEc:bes:jnlasa:v:98:y:2003:p:214-223

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  1. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Technical Working Papers 0331, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
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This page was last updated on 2009-11-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.