Open AccessThe Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis
Author(s) -
Charles A. Nelson,
ChangJin Kim
Publication year - 1988
Language(s) - English
Resource type - Reports
DOI - 10.3386/t0070
Subject(s) - conditional variance , variance (accounting) , econometrics , arch , mathematics , statistics , computer science , autoregressive conditional heteroskedasticity , economics , geography , volatility (finance) , accounting , archaeology
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