The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances
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- Kazi Abrar, Hossain & Syed Abul, Basher & A.K. Enamul, Haque, 2017. "Quantifying the impact of Ramadan on global raw sugar prices," MPRA Paper 75941, University Library of Munich, Germany.
- Pellegrini, Santiago & Ruiz, Esther & Espasa, Antoni, 2010. "Conditionally heteroscedastic unobserved component models and their reduced form," Economics Letters, Elsevier, vol. 107(2), pages 88-90, May.
- Jacek Kwiatkowski, 2010. "Unobserved Component Model for Forecasting Polish Inflation," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 121-129.
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Keywords
State space models;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-04-21 (Econometrics)
- NEP-ETS-2007-04-21 (Econometric Time Series)
- NEP-FOR-2007-04-21 (Forecasting)
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