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On The Relation Between Heteroscedastic RCA And Non-Stationary ARCH Processes

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  • Hana Janečková
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    Abstract

    In the paper a non-stationary ARCH model is defined and its relation with a heteroscedastic RCA model is presented. Further, estimation of unknown parameters in a non-stationary ARCH(l) is described under a special seasonal behaviour of time varying parameters. This procedure is compared with two different approaches of parameters estimation in a heteroscedastic RCA(l) model. Asymptotic properties of these estimators are shortly summarized. Finally, numerical simulations are presented.

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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/113
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    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 9 (2002)
    Issue (Month): 17 ()
    Pages:

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    Handle: RePEc:czx:journl:v:9:y:2002:i:17:id:113

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    Related research

    Keywords: ARCH models; random coefficients; autoregression; heteroscedasticity;

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