Prediction In Dynamic Models With Time Dependent Conditional Variances
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Bibliographic InfoPaper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 8815.
Length: 45 pages
Date of creation: 1990
Date of revision:
Contact details of provider:
Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Web page: http://econ.msu.edu/
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heteroskedasticity ; tests ; econometrics ; economic models;
Other versions of this item:
- Baillie, Richard T. & Bollerslev, Tim, 1992. "Prediction in dynamic models with time-dependent conditional variances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 91-113.
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