Prediction in ARMA models with GARCH in Mean Effects
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References listed on IDEAS
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- Karanasos, M., 1998. "A New Method For Obtaining The Autocovariance Of An Arma Model: An Exact Form Solution," Econometric Theory, Cambridge University Press, vol. 14(05), pages 622-640, October.
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More about this item
KeywordsARMA Model; Conditional Moments; GARCH in Mean Effects;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1999-10-28 (All new papers)
- NEP-ECM-1999-10-28 (Econometrics)
- NEP-ETS-1999-10-28 (Econometric Time Series)
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