Generalized linear autoregressions
This paper develops a class of autoregressive and moving average models which extend the generalized linear model. Likelihood and quasi-likelihood estimation procedures are developed which allow the models to be easily estimated and tested. Several examples are given which illustrate the usefulness and simplicity of the approach advocated in this paper.
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- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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