| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153172 | Statistics & Probability Letters | 2013 | 7 Pages |
Abstract
This paper first describes moment properties for Random Coefficient Autoregressive (RCA) processes and the corresponding squared processes, and then studies joint prediction of the mean and volatility. Recursive estimates based on estimating functions are used to compute joint predictions for volumes of the NASDAQ index.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Y. Liang, A. Thavaneswaran, N. Ravishanker,