Imposing stationarity constraints on the parameters of ARCH and GARCH models

DOI10.1016/S0731-9053(08)23017-3zbMATH Open1189.62144OpenAlexW1506632623MaRDI QIDQ3572040FDOQ3572040

Christopher J. O'Donnell, Vanessa Rayner

Publication date: 30 June 2010

Published in: Bayesian Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(08)23017-3

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cited In (2)

• Strict stationarity and functional central limit theorem for ARCH/GARCH models
• A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL

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