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Universidade de Lisboa: Repositório.UL
Research . 1994
Full-Text: https://repositorio.ulisboa.pt/bitstream/10400.5/24272/1/JCNICOLAU%2014-1994.pdf
Data sources: Universidade de Lisboa: Repositório.UL
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UTL Repository
Research . 2022
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Detecção e estimação do modelo ARCH. Aplicação à variação da taxa de câmbio do marco em escudos

descriptionPublicationkeyboard_double_arrow_right Research 01 Apr 1994 Portugal Portuguese Publisher:ISEG - CIEF
Authors: Nicolau, João Carlos;

handle: 10400.5/24272

Detecção e estimação do modelo ARCH. Aplicação à variação da taxa de câmbio do marco em escudos

Abstract

Na abordagem dos modelos ARCH coloca-se frequentemente dois problemas: como detectar urn efeito ARCH e como estimar um modelo de regressão com efeito ARCH. É nosso propósito, neste trabalho, apresentar alguns resultados sobre estas questões, ilustrando-os com uma aplicação as variações da cotação do marco em escudos. .

info:eu-repo/semantics/publishedVersion

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Portugal
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Keywords

Método semi-paramétrico, Método da quase máxima verosimilhança, Detecção de modelos não lineraes, Teste BDS, Modelos não lineares multiplicativos, ARCH

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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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impulse
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