Conditionally heteroscedastic unobserved component models and their reduced form

DOI10.1016/J.ECONLET.2009.12.034zbMath1203.91232OpenAlexW2020734570MaRDI QIDQ974179

Antoni Espasa, Santiago Pellegrini, Esther Ruiz Ortega

Publication date: 27 May 2010

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/15748

zbMATH Keywords

state space modelsexcess kurtosisnon-Gaussian distributionsautocorrelations of squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• Unobserved component models with asymmetric conditional variances
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• Contemporaneous aggregation of GARCH processes

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