The GARCH (1,1)-M model: results for the densities of the variance and the mean

DOI10.1016/S0167-6687(98)00040-7zbMATH Open1053.62554WikidataQ127909470 ScholiaQ127909470MaRDI QIDQ1293814FDOQ1293814

Authors: Ann De Schepper, Marc J. Goovaerts 

Publication date: 16 August 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

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zbMATH Keywords

Conditional varianceTransition probabilityFeynman Kac integralGeneralized autoregressive conditional heteroskedasticity (GARCH)Ito process

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

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• ARCH models as diffusion approximations
• An Intertemporal Capital Asset Pricing Model
• Modelling the persistence of conditional variances
• On some exponential functionals of Brownian motion
• Title not available (Why is that?)
• An Intertemporal General Equilibrium Model of Asset Prices
• An analytical inversion of a Laplace transform related to annuities certain
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• The distributions of annuities
• A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate

Cited In (7)

• Title not available (Why is that?)
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• Title not available (Why is that?)
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL
• Renorming volatilities in a family of GARCH models
• Closed-form approximations for diffusion densities: A path integral approach.

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