A Note on Non‐Negative Arma Processes

DOI10.1111/j.1467-9892.2006.00513.xzbMath1165.62069OpenAlexW2169675255MaRDI QIDQ5430503

Kung-Sik Chan, Henghsiu Tsai

Publication date: 16 December 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00513.x

zbMATH Keywords

stochastic volatilitygenerating functionabsolute monotonicity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Statistical estimation of operating reserve requirements using rolling horizon stochastic optimization ⋮ NEGATIVE VOLATILITY SPILLOVERS IN THE UNRESTRICTED ECCC-GARCH MODEL ⋮ A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL ⋮ Estimation for non-negative time series with heavy-tail innovations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Random coefficient autoregressive models: an introduction
• Time series: theory and methods.
• Generalized autoregressive conditional heteroscedasticity
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A NOTE ON INEQUALITY CONSTRAINTS IN THE GARCH MODEL
• Conditional Heteroscedastic Time Series Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Multivariate Stochastic Variance Models
• A Note on Non-Negative Continuous Time Processes
• What is the Laplace Transform?

This page was built for publication: A Note on Non‐Negative Arma Processes