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

页码：367 / 372

页数：6

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