Bartlett's formula for a general class of non linear processes
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- Christian Francq & Jean-Michel Zakoïan, 2009. "Bartlett's formula for a general class of nonlinear processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(4), pages 449-465, July.
References listed on IDEAS
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Citations
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Cited by:
- Christian Francq & Roch Roy & Abdessamad Saidi, 2011.
"Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 32(6), pages 699-723, November.
- Francq, Christian & Roy, Roch & Saidi, Abdessamad, 2011. "Asymptotic properties of weighted least squares estimation in weak parma models," MPRA Paper 28721, University Library of Munich, Germany.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427
Edward Elgar Publishing.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
- Regnard, Nazim & Zakoïan, Jean-Michel, 2011.
"A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices,"
Energy Economics,
Elsevier, vol. 33(6), pages 1240-1251.
- Regnard, Nazim & Zakoian, Jean-Michel, 2010. "A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices," MPRA Paper 22642, University Library of Munich, Germany.
- Proietti, Tommaso & Luati, Alessandra, 2015.
"The generalised autocovariance function,"
Journal of Econometrics,
Elsevier, vol. 186(1), pages 245-257.
- Tommaso, Proietti & Alessandra, Luati, 2012. "The Generalised Autocovariance Function," MPRA Paper 43711, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
- Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2016. "Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 40(3), pages 235-262, September.
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Su, Nan & Lund, Robert, 2012. "Multivariate versions of Bartlett’s formula," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 18-31.
- Boubacar Mainassara, Y. & Carbon, M. & Francq, C., 2012.
"Computing and estimating information matrices of weak ARMA models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 56(2), pages 345-361.
- Boubacar Mainassara, Yacouba & Carbon, Michel & Francq, Christian, 2010. "Computing and estimating information matrices of weak arma models," MPRA Paper 27685, University Library of Munich, Germany.
- repec:dau:papers:123456789/2603 is not listed on IDEAS
More about this item
Keywords
Bartlett's formula; nonlinear time series model; sample autocorrelation; GARCH model; weak white noise;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2009-02-14 (All new papers)
- NEP-ECM-2009-02-14 (Econometrics)
- NEP-ETS-2009-02-14 (Econometric Time Series)
- NEP-ORE-2009-02-14 (Operations Research)
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