Example: air traffic controller
Search results with tag "Generalized autoregressive conditional"
LECTURE ON THE MARKOV SWITCHING MODEL
homepage.ntu.edu.twand Rau, Lin and Li (2001). Given that the Markov switching model of conditional mean is highly successful, it is natural to consider incorporating this switching mecha-nism into conditional variance models. A leading class of conditional variance models is the GARCH (generalized autoregressive conditional heteroskedasticity) model intro-
GENERALIZED AUTOREGRESSIVE CONDITIONAL …
public.econ.duke.eduJournal of Econometrics 31 (1986) 307-327. North-Holland GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY Tim BOLLERSLEV* University of California at San Diego, La Jolla, CA 92093, USA Institute of Economics, University of Aarhus, Denmark Received May 1985, final version received February 1986