A mathematical approach to detect the Taylor property in TARCH processes

DOI10.1016/j.spl.2008.10.006zbMath1156.62080OpenAlexW2022450235MaRDI QIDQ1007346

Esmeralda Gonçalves, Joana Leite, Nazaré Mendes Lopes

Publication date: 20 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/10046

Mathematics Subject Classification ID

Related Items (5)

A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model ⋮ On the structure of generalized threshold ARCH processes ⋮ Zero-inflated compound Poisson distributions in integer-valued GARCH models ⋮ Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes ⋮ Infinitely Divisible Distributions in Integer‐Valued Garch Models

Cites Work

• Properties of moments of a family of GARCH processes
• Empirical properties of asset returns: stylized facts and statistical issues
• Threshold heteroskedastic models
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