A Note on Non‐Negative Arma Processes

DOI10.1111/J.1467-9892.2006.00513.XzbMath1165.62069OpenAlexW2169675255MaRDI QIDQ5430503

Kung-Sik Chan, Henghsiu Tsai

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00513.x

zbMATH Keywords

stochastic volatilitygenerating functionabsolute monotonicity

Mathematics Subject Classification ID

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

Related Items (4)

Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL ⋮ A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL ⋮ Estimation for non-negative time series with heavy-tail innovations

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Multivariate Stochastic Variance Models
• A Note on Non-Negative Continuous Time Processes
• What is the Laplace Transform?

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