A zero intercept Vec model

DOI10.1016/J.SPL.2026.110770MaRDI QIDQ7302881zbMATH OpenFDO

Authors Christian M. Hafner, Arie Preminger

Publication date 23 July 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2026.110770

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

Cites work

• An ARCH model without intercept
• ARCH models and financial applications
• Handbook of Volatility Models and Their Applications
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• Inference for asymmetric exponentially weighted moving average models
• Multivariate GARCH Models
• On asymptotic theory for multivariate GARCH models
• The ZD-GARCH model: a new way to study heteroscedasticity

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