Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity
DOI10.1080/07474938.2017.1310080zbMath1490.62257arXiv1506.01391OpenAlexW2964023452MaRDI QIDQ5860916
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.01391
heteroscedasticityLyapunov exponentgeometric Brownian motionquasi-maximum likelihood estimationnonstationary time seriesDAR modelDARWIN modelordinary oscillation
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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