Medeiros, M.C.

model volatility nonlinear inflation estimate error parameter journal process estimation variance result return condition str models specification paper function transition series section variable assumption equation table instrument effect mcaleer regime shock estimator moment leverage value noise forecast bagging likelihood method theorem distribution garch volatility models university autoregressive sequence expectation proof econometrics order noise model asymmetry observation review percent target time series har model linearity test future shephard rv errors threshold medeiro bollerslev square log-volatility price sample memory policy frequency forecasting density lhar model frequency data volatility model sampler linearity property