The Autocorrelation Function of Conditionally Heteroskedastic in Mean Models

Antonis Demos ( Αντώνης Ντέμος)

(Athens University of Economics and Business)
December 1998, Current Version: April 2000

Πολιτικός Λόγος (οικονομικό και πολιτικό ένθετο του – οικονομία/ θετικές επιστήμες free ebook (κατηγορία: επιστημονικές μελέτες)

This paper discusses statistical properties of conditionally heteroskedastic in mean models. We derive the autocovariance function of an observed series under the assumption that the conditional variance follows a flexible parameterization, which nests a variety of specifications, including models for the variance, the standard deviation or their logarithm. Furthermore, the mean parameter can be timevarying. We also present the autocovariance function of the squared residuals. Our result can be applied so that the properties of the observed data can be compared with the theoretical properties of the models, thus facilitating model identification. free ebook (κατηγορία: επιστημονικές μελέτες)
[download] διαβάστε, επίσης, και άλλες επιστημονικές μελέτες του αν. Καθηγητή κ. Αντώνη Ντέμου:

1. Technical Appendix for “Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models”  κλικ εδώ
2. Stochastic Expansions and Moment Approximations for Three Indirect Estimators  κλικ εδώ