On the ARCH model with stationary liquidity

DOI10.1007/s00184-020-00779-xzbMath1473.62318OpenAlexW3037387898MaRDI QIDQ2227202

Soledad Torres, Pauliina Ilmonen, Marko Voutilainen, Ciprian A. Tudor, Lauri Viitasaari

Publication date: 10 February 2021

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-020-00779-x

zbMATH Keywords

estimationconsistencystationarityARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (1)

Note on AR(1)-characterisation of stationary processes and model fitting

Cites Work

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• Note on AR(1)-characterisation of stationary processes and model fitting
• Introduction to time series.
• Analysis of Variations for Self-similar Processes
• Existence of moments in a stationary stochastic difference equation
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• EGARCH Model with Weighted Liquidity

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