RCA model with quadratic GARCH innovation distribution
DOI10.1016/J.AML.2011.12.023zbMATH Open1247.91204OpenAlexW2043800862MaRDI QIDQ452958FDOQ452958
Authors: S. S. Appadoo, A. Thavaneswaran, S. Mandal 
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
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kurtosisvarianceGARCH modelfat tailed innovation distributionrandom coefficient autoregressive model
Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quadratic ARCH Models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Random coefficient autoregression, regime switching and long memory
- Random coefficient autoregressive models: an introduction
- RCA models with GARCH innovations
- A nonlinear time series model and estimation of missing observations
- Prediction via estimating functions
- RCA models with correlated errors
- A Black-Scholes model with GARCH volatility
- ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
- Random coefficient GARCH models
Cited In (9)
- Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
- Properties of a new family of volatility sign models
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- Random coefficient GARCH models
- Random coefficient mixture (RCM) GARCH models
- Kurtosis in Black-Scholes model with GARCH volatility
- RCA models with GARCH innovations
- Mellin's transform and application to some time series models
- RCA models with correlated errors
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