A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution
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- Menelaos Karanasos, "undated". "Prediction in ARMA models with GARCH in Mean Effects," Discussion Papers 99/11, Department of Economics, University of York.
- repec:bla:jtsera:v:38:y:2017:i:1:p:22-50 is not listed on IDEAS
- 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.
- Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York.
- 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, arXiv.org.
- 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).
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