Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/4670
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Gonçalves, Esmeralda | - |
dc.contributor.author | Lopes, Nazaré Mendes | - |
dc.date.accessioned | 2008-09-01T11:36:14Z | - |
dc.date.available | 2008-09-01T11:36:14Z | - |
dc.date.issued | 1998 | en_US |
dc.identifier.citation | Journal of Statistical Planning and Inference. 68:1 (1998) 193-202 | en_US |
dc.identifier.uri | https://hdl.handle.net/10316/4670 | - |
dc.description.abstract | The aim of this paper is to present some statistical aspects of an order 1 autoregressive model with errors following a stationary and ergodic generalized threshold ARCH process. So, to analyse the precision of forecasts obtained with these models a probabilistic study will be done. Moreover, a consistent test for a general AR(1) model with errors following an ergodic white noise of null conditional median will be developed and adapted to our stochastic process. | en_US |
dc.description.uri | http://www.sciencedirect.com/science/article/B6V0M-3TC1T93-C/1/694001612cba7b15d95743329e50d8a0 | en_US |
dc.format.mimetype | aplication/PDF | en |
dc.language.iso | eng | eng |
dc.rights | openAccess | eng |
dc.subject | Conditionally heteroscedastic time series | en_US |
dc.subject | White noise, stationarity | en_US |
dc.subject | Arma models | en_US |
dc.subject | Forecasting | en_US |
dc.title | Some statistical results on autoregressive conditionally heteroscedastic models | en_US |
dc.type | article | en_US |
item.openairetype | article | - |
item.fulltext | Com Texto completo | - |
item.languageiso639-1 | en | - |
item.grantfulltext | open | - |
item.cerifentitytype | Publications | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
crisitem.author.dept | Faculty of Sciences and Technology | - |
crisitem.author.parentdept | University of Coimbra | - |
crisitem.author.researchunit | CMUC - Centre for Mathematics of the University of Coimbra | - |
crisitem.author.orcid | 0000-0002-3315-4204 | - |
Appears in Collections: | FCTUC Matemática - Artigos em Revistas Internacionais |
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fileaa08c2a63c344413b6daf9655073def8.pdf | 633.47 kB | Adobe PDF | View/Open |
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