A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL

DOI10.1017/S0266466608080432zbMath1284.62574MaRDI QIDQ3632402

Henghsiu Tsai, Kung-Sik Chan

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

The ARMA alphabet soup: a tour of ARMA model variants ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL ⋮ A Note on Non‐Negative Arma Processes ⋮ Non-negativity conditions for the hyperbolic GARCH model ⋮ Fractionally integrated time varying GARCH model

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Note on Non‐Negative Arma Processes
• What is the Laplace Transform?

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