The vector autoregressive model has long been used for portfolio analysis, while a recent extension (VARX) incorporates exogenous factors. Despite its increased forecasting precision, the ...
Two methods of parameter estimation for a general nonlinear autoregressive process with beta-ARCH innovations are discussed and the large sample properties of the estimators for each method are ...
This is a preview. Log in through your library . Abstract We have implemented a Lagrange multiplier test for the alternative hypothesis of a nonlinear continuous-time autoregressive model with the ...
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