RT Journal Article
T1 Conditionally heteroscedastic unobserved component models and their reduced form
A1 Pellegrini, Santiago
A1 Ruiz Ortega, Esther
AB The 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.
PB Elsevier
SN 0165-1765
YR 2010
FD 2010
LK https://hdl.handle.net/10016/15748
UL https://hdl.handle.net/10016/15748
LA eng
NO Financial support from Project SEJ2006-03919 by the Spanish Government isgratefully acknowledged
DS e-Archivo
RD 18 may. 2024