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Conditional Means of Time Series Processes and Time Series Processes for Conditional Means

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Author Info

  • Fiorentini, G
  • Sentana, E

Abstract

We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general results for the conditional mean of univariate and vector linear processes, and then apply it to various models of interest.

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Bibliographic Info

Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number 9617.

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Length: 39 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:cemfdt:9617

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Fax: 914291056
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Keywords: STATISTICS;

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Cited by:
  1. Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Working Papers 12-37, Bank of Canada.
  3. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
  4. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Working Papers 14-13, Bank of Canada.
  5. Garcia, R. & Renault, E., 2000. "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  6. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

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