The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model. Two methods ...

Based on an idea of Granger (1986. "Oxford Bulletin of Economics and Statistics" 48, 213-228), we analyze a new vector autoregressive model defined from the fractional lag operator $1- (1-L)^ {d}$. We ...

Spatial Econometrics and Autoregressive Models Publication Trend The graph below shows the total number of publications each year in Spatial Econometrics and Autoregressive Models.