Doubly stochastic models with GARCH innovations

DOI10.1016/J.AML.2011.04.020MaRDI QIDQ654181zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, S. S. Appadoo, Shelton Peiris

Publication date 28 December 2011

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

Full work available at URL https://doi.org/10.1016/j.aml.2011.04.020

zbMATH Keywords

momentsGARCH modelskurtosisdoubly stochastic models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Stationary stochastic processes (60G10)

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Cites work

• A nonlinear time series model and estimation of missing observations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• RCA models with GARCH innovations
• Random coefficient autoregression, regime switching and long memory
• Random coefficient autoregressive models: an introduction

Cited in

(4)

• Doubly stochastic models with asymmetric GARCH errors
• Doubly stochastic models with threshold GARCH innovations
• RCA model with quadratic GARCH innovation distribution
• BL-GARCH models with elliptical distributed innovations

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