The autocorrelation structure for the GARCH-M process

DOI10.1016/0165-1765(91)90120-AMaRDI QIDQ806915zbMATH OpenOpenAlexFDO

Authors E. P. Hong

Publication date 1991

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(91)90120-a

Mathematics Subject Classification ID

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

Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3958501 (Why is no real title available?)

Cited in

(9)

• Empirical likelihood inference for functional coefficient ARCH-M model
• Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
• Weighted empirical likelihood inferences for a class of varying coefficient ARCH-M models
• Empirical likelihood based estimation for a class of functional coefficient ARCH-M models
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Appraisal of excess Kurtosis through outlier-modified GARCH-type models
• Model selection: ARMA versus GARCH-M model
• Orthogonal weighted empirical likelihood test for ARCH-M models with double functional coefficients
• Orthogonal weighted empirical likelihood test of the double-functional coefficient ARCH-M model

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