On the Transmission of Memory in Garch‐in‐Mean Models
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Publication:3192402
DOI10.1111/jtsa.12119zbMath1329.62375OpenAlexW1605024322MaRDI QIDQ3192402
Christian Conrad, Menelaos Karanasos
Publication date: 12 October 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12119
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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Asymptotics for parametric GARCH-in-mean models, Appraisal of excess Kurtosis through outlier-modified GARCH-type models
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