Doubly stochastic models with GARCH innovations

DOI10.1016/J.AML.2011.04.020zbMATH Open1229.91363OpenAlexW1975567177MaRDI QIDQ654181FDOQ654181

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

Recommendations

• Doubly stochastic models with asymmetric GARCH errors
• Doubly stochastic models with threshold GARCH innovations
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• Stable GARCH models for financial time series
• scientific article; zbMATH DE number 4211325

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)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• 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

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

This page was built for publication: Doubly stochastic models with GARCH innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654181)