Quadratic random coefficient autoregression with linear-in-parameters volatility
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DOI: 10.1007/s11203-014-9108-3
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- Min Chen & Dong Li & Shiqing Ling, 2014. "Non-Stationarity And Quasi-Maximum Likelihood Estimation On A Double Autoregressive Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 189-202, May.
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- Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2024. "Noising the GARCH volatility: A random coefficient GARCH model," MPRA Paper 120456, University Library of Munich, Germany, revised 15 Mar 2024.
- Aknouche, Abdelhakim & Gouveia, Sonia & Scotto, Manuel, 2023. "Random multiplication versus random sum: auto-regressive-like models with integer-valued random inputs," MPRA Paper 119518, University Library of Munich, Germany, revised 18 Dec 2023.
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More about this item
Keywords
Generalized random coefficient autoregression; Quadratic $$ ARCH$$ A R C H ; Four-stage weighted least squares; Consistency and asymptotic normality; Stationarity testing; Primary 62M10; Secondary 62M04;All these keywords.
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