Imposing stationarity constraints on the parameters of ARCH and GARCH models

DOI10.1016/S0731-9053(08)23017-3MaRDI QIDQ3572040zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cited in

(2)

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

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