Varianza condicional de medias móviles no-lineales
We present a new heteroskedastic conditional variance model using Non-Linear Moving Average as the basis for this specification []. The typical problem of this class of models-i.e., non-invertibility—is solved by means of an intuitive parametric restriction; this allows us to use Maximum Likelihood...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Spanish |
| Published: |
Universidad Autónoma de Nuevo León
2008
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| Subjects: | |
| Online Access: | https://ensayos.uanl.mx/index.php/ensayos/article/view/99 |