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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Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number
9617.
Length: 39 pages Date of creation: 1996 Date of revision: Handle: RePEc:fth:cemfdt:9617
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
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