MOVING AVERAGE CONDITIONAL HETEROSKEDASTIC PROCESSES

被引：7
|
作者：
YANG, MX
BEWLEY, R
机构：
[1] School of Economics, University of New South Wales, Sydney
来源：
ECONOMICS LETTERS | 1995年 / 49卷 / 04期
关键词：
TIME SERIES; VOLATILITY; CONDITIONAL VARIANCE;
D O I：
10.1016/0165-1765(95)00708-N
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
MACH processes are proposed to model volatile time series where effects of shocks on conditional variance are transitory.
引用
收藏
页码：367 / 372
页数：6
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