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Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random Coefficient Approach

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Author Info
Anil K. Bera
Sangkyu Lee
Matthew L. Higgins

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Abstract

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Publisher Info
Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 90-25.

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Date of creation: Jul 1990
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Handle: RePEc:cdl:ucsdec:90-25

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  1. J. Peter Ferderer, 1999. "Credibility of the Interwar Gold Standard, Uncertainty, and the Great Depression," Macroeconomics 9907002, EconWPA. [Downloadable!]
  2. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(1), pages 45-59, March. [Downloadable!] (restricted)
  3. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Marc Sáez & Robert M. Kunst, 1995. "ARCH Patterns in Cointegrated Systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  5. He, Changli & Teräsvirta, Timo, 2002. "An application of the analogy between vector ARCH and vector random coefficient autoregressive models," Working Paper Series in Economics and Finance 516, Stockholm School of Economics. [Downloadable!]
  6. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 99-128, May. [Downloadable!] (restricted)
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This page was last updated on 2009-11-17.

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