A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution
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Other versions of this item:
- Menelaos Karanasos,, 1996. "A New Method for Obtaining the Autocovariance of an ARMA Model: An Exact-form solution," Archive Discussion Papers 9613, Birkbeck, Department of Economics, Mathematics & Statistics.
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- 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).
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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