Missing mean does no harm to volatility!

DOI10.1016/J.ECONLET.2015.06.011MaRDI QIDQ529817zbMATH OpenOpenAlexFDO

Authors Stanislav Anatolyev, Irina Tarasyuk

Publication date 9 June 2017

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.06.011

zbMATH Keywords

misspecificationARCHfinancial returns

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• GARCH with omitted persistent covariate
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Neglecting parameter changes in GARCH models
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation

Cites work

• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating weak GARCH representations
• Temporal Aggregation of Garch Processes
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean

Cited in

(1)

• Neglecting parameter changes in GARCH models

This page was built for publication: Missing mean does no harm to volatility!

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q529817)