Autoregressive Conditional Heteroskedasticy Under Error-Term Non-Normality
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References listed on IDEAS
- McDonald, James B. & Newey, Whitney K., 1988. "Partially Adaptive Estimation of Regression Models via the Generalized T Distribution," Econometric Theory, Cambridge University Press, vol. 4(03), pages 428-457, December.
- Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- McDonald, James B., 1989. "Partially adaptive estimation of ARMA time series models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 217-230.
- Phillips, Robert F., 1994. "Partially adaptive estimation via a normal mixture," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 123-144.
More about this item
KeywordsError- term non-normality; skewness; autoregressive conditional heteroskedasticity; Research Methods/ Statistical Methods;
StatisticsAccess and download statistics
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