Nonlinear approach to modeling heteroscedasticity in transfer function analysis |
황선영
(숙명여대 통계학과)
김순영 (마켓비전 컨설팅 그룹㈜) 이성덕 (충북대학교 통계학과) |
1 |
Statistical analysis of transfer function models with conditional heteroscedasticity
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과학기술학회마을 |
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Estimation for nonlinear autoregressive models generated by beta-ARCH processes
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3 |
On squared residual autocorrelation in non-linear time series with conditional heteroscedasticity
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DOI |
4 |
On a double threshold autoregressive heteroscedastic time series model
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ARMA models with ARCH errors
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DOI |
6 |
Generalized autoregressive conditional heteroscedasticity
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DOI ScienceOn |
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8 |
Probabilistic properties of the-ARCH model
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9 |
Threshold ARCH(1) processes: asymptotic inference
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DOI ScienceOn |
10 |
Checking ARMA time series models using squared-residual autocorrelations
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DOI |
11 |
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
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DOI ScienceOn |