Doubly stochastic models with asymmetric GARCH errors

MaRDI QIDQ4569471zbMATH OpenFDO

Authors Muhammad Sheraz

Publication date 28 June 2018

zbMATH Keywords

AGARCH-(I)-(0,1)doubly stochastic time seriesGARCH processesRCA(1)RCA-MA(1)Sign-RCA-MA(1)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Doubly stochastic models with threshold GARCH innovations
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Doubly stochastic models with GARCH innovations

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