Metody szacowania parametrów modeli dwuliniowych
The methods of estimating the parameters of bilinear models
Author(s): Joanna Górka, Michał Bernard PietrzakSubject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: bilinear model; GARCH model
Summary/Abstract: In the paper we present stochastic process which is called bilinear process, the structure of the process and its properties. Then we present the representation of the state space for the bilinear model. Finally, we show the methods of estimating the parameters of bilinear models and some empirical examples as well.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XII/2011
- Issue No: 2
- Page Range: 139-147
- Page Count: 9
- Language: Polish
