Doubly stochastic models with GARCH innovations
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Publication:654181
DOI10.1016/j.aml.2011.04.020zbMath1229.91363MaRDI QIDQ654181
S. S. Appadoo, A. Thavaneswaran, M. 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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
60G10: Stationary stochastic processes
Cites Work
- RCA models with GARCH innovations
- Random coefficient autoregressive models: an introduction
- A nonlinear time series model and estimation of missing observations
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Random coefficient autoregression, regime switching and long memory