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

DOI10.1016/S0167-6687(98)00040-7MaRDI QIDQ1293814zbMATH OpenWikidataFDO

Authors Ann De Schepper, Marc J. Goovaerts

Publication date 16 August 1999

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

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)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3433270 (Why is no real title available?)
• scientific article; zbMATH DE number 3282537 (Why is no real title available?)
• A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
• ARCH models as diffusion approximations
• An Intertemporal Capital Asset Pricing Model
• An Intertemporal General Equilibrium Model of Asset Prices
• An analytical inversion of a Laplace transform related to annuities certain
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Modelling the persistence of conditional variances
• On some exponential functionals of Brownian motion
• The distributions of annuities

Cited in

(7)

• scientific article; zbMATH DE number 5066273 (Why is no real title available?)
• A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
• scientific article; zbMATH DE number 6531997 (Why is no real title available?)
• 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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