Large sample properties of parameter least squares estimates for time-varying arma models
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- Nazim Regnard & Jean-Michel Zakoïan, 2010. "Structure and estimation of a class of nonstationary yet nonexplosive GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 348-364, September.
- repec:dau:papers:123456789/2285 is not listed on IDEAS
- Rajae Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.
- Regnard, Nazim & Zakoïan, Jean-Michel, 2011.
"A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices,"
Elsevier, vol. 33(6), pages 1240-1251.
- Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
- K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
- repec:dau:papers:123456789/2603 is not listed on IDEAS
- repec:dau:papers:123456789/5529 is not listed on IDEAS
- Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.
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