Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
Gabriele Fiorentini () and
Enrique Sentana ()
Working Papers from Centro de Estudios Monetarios Y Financieros-
We study the processes for the conditional mean and variance given a specification of the process for the observed time series. We derive general results for the conditional mean of univariate and vector linear processes, and then apply it to various models of interest.
Keywords: STATISTICS (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 39 pages
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Journal Article: Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (1998)
Working Paper: Conditional means of time series processes and time series processes for conditional means (1997)
Working Paper: Conditional Means of Time Series Processes and Time Series Processes for Conditional Means (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:cemfdt:9617
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