Browsing by Author "Baillie, T"

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    • Prediction in dynamic models with time-dependent conditional variances 

      Bollerslev Richard, T; Baillie, T (Journal of Econometrics, 1992-01-01)
      This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional ...