The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances
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References listed on IDEAS
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"Volatility and Links between National Stock Markets,"
Econometric Society, vol. 62(4), pages 901-933, July.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
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- 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.
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KeywordsState space models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-21 (All new papers)
- NEP-ECM-2007-04-21 (Econometrics)
- NEP-ETS-2007-04-21 (Econometric Time Series)
- NEP-FOR-2007-04-21 (Forecasting)
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