A mathematical approach to detect the Taylor property in TARCH processes

DOI10.1016/J.SPL.2008.10.006zbMATH Open1156.62080OpenAlexW2022450235MaRDI QIDQ1007346FDOQ1007346

Authors: E. Gonçalves, J. Leite, N. Mendes-Lopes 

Publication date: 20 March 2009

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

Full work available at URL: http://hdl.handle.net/10316/10046

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Mathematics Subject Classification ID

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

Cites Work

• Empirical properties of asset returns: stylized facts and statistical issues
• Title not available (Why is that?)
• Properties of moments of a family of GARCH processes
• Threshold heteroskedastic models
• Title not available (Why is that?)

Cited In (8)

• Infinitely divisible distributions in integer-valued GARCH models
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• On the ability of the power threshold GARCH model to capture the Taylor effect
• The Taylor property in bilinear models
• On the structure of generalized threshold ARCH processes
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
• A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model
• Zero-inflated compound Poisson distributions in integer-valued GARCH models

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