Dependence properties of stochastic volatility models

DOI10.1111/JTSA.12765MaRDI QIDQ6995664zbMATH OpenFDO

Authors Piotr Kokoszka, Neda Mohammadi, Haonan Wang

Publication date 17 April 2025

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12765

zbMATH Keywords

nonlinear time seriesstochastic volatilitytemporal dependence

Mathematics Subject Classification ID

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

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Cited in

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