Publication:
Conditionally heteroscedastic unobserved component models and their reduced form

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorPellegrini, Santiago
dc.contributor.authorRuiz Ortega, Esther
dc.date.accessioned2012-10-24T10:13:59Z
dc.date.available2012-10-24T10:13:59Z
dc.date.issued2010
dc.description.abstractThe reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.
dc.description.sponsorshipFinancial support from Project SEJ2006-03919 by the Spanish Government is gratefully acknowledged
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationEconomics Letters, 2010, v. 107, n. 2, pp. 88-90
dc.identifier.doi10.1016/j.econlet.2009.12.034
dc.identifier.issn0165-1765
dc.identifier.publicationfirstpage88
dc.identifier.publicationissue2
dc.identifier.publicationlastpage90
dc.identifier.publicationtitleEconomics Letters
dc.identifier.publicationvolume107
dc.identifier.urihttps://hdl.handle.net/10016/15748
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.econlet.2009.12.034
dc.rights© Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEstadística
dc.subject.jelC22
dc.subject.otherState space models
dc.subject.otherNon-Gaussian distributions
dc.subject.otherExcess kurtosis
dc.subject.otherAutocorrelations of squares
dc.titleConditionally heteroscedastic unobserved component models and their reduced form
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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