RCA models: joint prediction of mean and volatility

DOI10.1016/J.SPL.2012.10.031MaRDI QIDQ1950658zbMATH OpenOpenAlexFDO

Authors You Liang, A. Thavaneswaran, Nalini Ravishanker

Publication date 13 May 2013

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

Full work available at URL https://doi.org/10.1016/j.spl.2012.10.031

zbMATH Keywords

recursive estimationspectral densityfinancial datarandom coefficient autoregressionssquared process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(3)

• Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter
• Random coefficient autoregressive processes and the PUCK model with fluctuating potential
• RCA models with GARCH innovations

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