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Prediction Problems for Square-Transformed Stationary Processes

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  • In-Bong Choi
  • Masanobu Taniguchi

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  • In-Bong Choi & Masanobu Taniguchi, 2003. "Prediction Problems for Square-Transformed Stationary Processes," Statistical Inference for Stochastic Processes, Springer, vol. 6(1), pages 43-64, January.
    • Handle: RePEc:spr:sistpr:v:6:y:2003:i:1:p:43-64
    DOI: 10.1023/A:1022634712382
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    References listed on IDEAS

    as
    1. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Francq, Christian & Zakoïan, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, vol. 16(5), pages 692-728, October.
    4. Taniguchi, M. & Watanabe, Y., 1994. "Statistical Analysis of Curved Probability Densities," Journal of Multivariate Analysis, Elsevier, vol. 48(2), pages 228-248, February.
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    Cited by:

    1. Bosq, Denis, 2010. "Tensorial products of functional ARMA processes," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1352-1363, July.

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