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Minimum distance estimators for random coefficient autoregressive models

✍ Scribed by Lianfen Qian


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
514 KB
Volume
29
Category
Article
ISSN
0167-7152

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## Abstract The random coefficient autoregressive Markov regime switching model (RCARRS) for estimating optimal hedge ratios, which generalizes the random coefficient autoregressive (RCAR) and Markov regime switching (MRS) models, is introduced. RCARRS, RCAR, MRS, BEKK‐GARCH, CC‐GARCH, and OLS are