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A simple linear time series model with misleading nonlinear properties

✍ Scribed by Michael K Andersson; Bruno Eklund; Johan Lyhagen


Book ID
117333561
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
44 KB
Volume
65
Category
Article
ISSN
0165-1765

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πŸ“œ SIMILAR VOLUMES


Nonlinear time series with long memory:
✍ Peter M. Robinson; Paolo Zaffaroni πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 568 KB

We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the "raw" series and for the "squared" series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main stati