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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/4702
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| Title: | Unobserved Component Time Series Models with ARCH Disturbances |
| Author(s): | Harvey, A. C.
Ruiz, Esther [ortega]
Sentana, E. |
| Publisher: | Elsevier |
| Issued date: | 1992 |
| Citation: | Journal of Econometrics, 1992, vol. 52, n. 1-2, p. 129-158 |
| URI: | http://hdl.handle.net/10016/4702 |
| DOI: | 10.1016/0304-4076(92)90068-3 |
| Sponsor: | We are also grateful to Neil Shephard, Mervyn King, Sushil Wadhwani, Manuel Arellano, Herman van Dijk, Rob Engle, and several anonymous referees for their comments. In addition we would like to thank Ray Chou. Frank Diebold, and Charles Goodharl for supplying us with the data used in the applicalions. The second author acknowledges financial support from the Basque Government; the third author acknowledges support from the LSE Financial Markets Group and the Spanish Ministry of Educalion and Science. |
| Review: | PeerReviewed |
| Publisher version: | http://dx.doi.org/10.1016/0304-4076(92)90068-3 |
| Keywords: | Time series models
ARCH |
| Rights: | © 1992-Elsevier |
| Appears in Collections: | Economists Online
DES - Artículos de Revistas
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