Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

DOI10.1046/j.0143-9782.2003.01771.xzbMath1052.91072MaRDI QIDQ4828167

Stelios Arvanitis, Antonis Demos

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1046/j.0143-9782.2003.01771.x

zbMATH Keywords

ergodicity; autocovariance function; strict stationarity

Mathematics Subject Classification ID

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

91B84: Economic time series analysis

Related Items

Statistic inference for a single-index ARCH-M model, Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models, Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model, Estimation and properties of a time-varying GQARCH(1,1)-M model, Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model, Empirical likelihood inference for functional coefficient ARCH-M model

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