Conditionally heteroscedastic unobserved component models and their reduced form

C-Tier

Journal: Economics Letters

Year: 2010

Volume: 107

Issue: 2

Pages: 88-90

Authors (3)

Pellegrini, Santiago (not in RePEc) Ruiz, Esther (Universidad Carlos III de Madr...) Espasa, Antoni (Universidad Carlos III de Madr...)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Abstract

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.

Conditionally heteroscedastic unobserved component models and their reduced form

Authors (3)

Abstract

Technical Details