RCA model with quadratic GARCH innovation distribution

DOI10.1016/J.AML.2011.12.023MaRDI QIDQ452958zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

kurtosisvarianceGARCH modelfat tailed innovation distributionrandom coefficient autoregressive model

Mathematics Subject Classification ID

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

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Cites work

• A Black-Scholes model with GARCH volatility
• A nonlinear time series model and estimation of missing observations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• Prediction via estimating functions
• Quadratic ARCH Models
• RCA models with GARCH innovations
• RCA models with correlated errors
• Random coefficient GARCH models
• Random coefficient autoregression, regime switching and long memory
• Random coefficient autoregressive models: an introduction

Cited in

(9)

• Mellin's transform and application to some time series models
• Kurtosis analysis in GARCH models with Gram-Charlier-like innovations
• Random coefficient GARCH models
• Random coefficient mixture (RCM) GARCH models
• RCA models with correlated errors
• Properties of a new family of volatility sign models
• Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
• Kurtosis in Black-Scholes model with GARCH volatility
• RCA models with GARCH innovations

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