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A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution


  • Karanasos, M.


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  • Karanasos, M., 1998. "A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution," Econometric Theory, Cambridge University Press, vol. 14(05), pages 622-640, October.
  • Handle: RePEc:cup:etheor:v:14:y:1998:i:05:p:622-640_14

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    References listed on IDEAS

    1. Bairam, Erkin I, 1994. "Institutional Affiliation of Contributors to Top Economic Journals, 1985-1990: Communication," Journal of Economic Literature, American Economic Association, vol. 32(2), pages 674-679, June.
    2. Phillips, P.C.B. & Choi, I. & Schochet, P.Z., 1988. "Worldwide Institutional and Individual Rankings in Statistical Theory by Journal Publications over the period 1980–1986," Econometric Theory, Cambridge University Press, vol. 4(01), pages 1-34, April.
    3. Hall, A. D., 1987. "Worldwide Rankings of Research Activity in Econometrics: 1980–1985," Econometric Theory, Cambridge University Press, vol. 3(02), pages 171-194, April.
    4. Hall, A. D., 1990. "Worldwide Rankings of Research Activity in Econometrics: An Update: 1980–1988," Econometric Theory, Cambridge University Press, vol. 6(01), pages 1-16, March.
    5. Scott, Loren C & Mitias, Peter M, 1996. "Trends in Rankings of Economics Departments in the U.S.: An Update," Economic Inquiry, Western Economic Association International, vol. 34(2), pages 378-400, April.
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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Menelaos Karanasos, "undated". "Prediction in ARMA models with GARCH in Mean Effects," Discussion Papers 99/11, Department of Economics, University of York.
    2. repec:bla:jtsera:v:38:y:2017:i:1:p:22-50 is not listed on IDEAS
    3. Zheng, Wei & Jin, Yong & Zhang, Guoyi, 2016. "Recursive estimation of time-average variance constants through prewhitening," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 30-37.
    4. Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York.
    5. Solberger M. & Zhou X., 2013. "A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification," Research Memorandum 058, Maastricht University, Graduate School of Business and Economics (GSBE).
    6. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179,

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