RCA model with quadratic GARCH innovation distribution

DOI10.1016/J.AML.2011.12.023zbMath1247.91204OpenAlexW2043800862MaRDI QIDQ452958

J. Herrera, D. Rodríguez-Gómez

Publication date: 18 September 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2011.12.023

zbMATH Keywords

variancekurtosisGARCH modelfat tailed innovation distributionrandom coefficient autoregressive model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Mellin's transform and application to some time series models

Cites Work

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• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory
• Quadratic ARCH Models

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