The autocorrelation structure for the GARCH-M process

DOI10.1016/0165-1765(91)90120-AzbMATH Open0729.62630OpenAlexW1983121412MaRDI QIDQ806915FDOQ806915

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

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)

Cited In (6)

• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Empirical likelihood inference for functional coefficient ARCH-M model
• 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
• Appraisal of excess Kurtosis through outlier-modified GARCH-type models
• Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models

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