Random coefficient volatility models

DOI10.1016/J.SPL.2007.09.019MaRDI QIDQ2483427zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, Shelton Peiris, S. S. Appadoo

Publication date 28 April 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.09.019

zbMATH Keywords

kurtosisrandom coefficientsign-switchingstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• A nonlinear time series model and estimation of missing observations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Forecasting volatility
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 5211919 (Why is no real title available?)
• scientific article; zbMATH DE number 2230444 (Why is no real title available?)
• Properties of moments of a family of GARCH processes
• Random coefficient autoregression, regime switching and long memory
• Random coefficient autoregressive models: an introduction
• Random coefficient GARCH models

Cited in

(9)

• Inference for random coefficient volatility models
• Properties of a new family of volatility sign models
• Fuzzy coefficient volatility (FCV) models with applications
• Random coefficient autoregressive (RCA) models with nonlinear stochastic volatility innovations
• Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
• scientific article; zbMATH DE number 2230444 (Why is no real title available?)
• Structure and inference in a periodic random coefficients autoregressive model
• Random coefficient GARCH models
• Random coefficient mixture (RCM) GARCH models

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