RCA models with GARCH innovations

DOI10.1016/j.aml.2008.02.015zbMath1163.91534OpenAlexW1973809332MaRDI QIDQ1027477

J. Blot

Publication date: 29 June 2009

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2008.02.015

zbMATH Keywords

kurtosisnon-normalGARCH processesRCA modelstime varying volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (6)

Model order determination using the Hankel matrix of impulse responses ⋮ RCA model with quadratic GARCH innovation distribution ⋮ Doubly stochastic models with GARCH innovations ⋮ Mellin's transform and application to some time series models ⋮ Inference for random coefficient volatility models ⋮ On some properties of autoregressive conditional Poisson (ACP) models

Cites Work

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• Random coefficient GARCH models
• Random coefficient autoregressive models: an introduction
• A nonlinear time series model and estimation of missing observations
• Generalized autoregressive conditional heteroscedasticity
• Strong approximation for RCA(1) time series with applications
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory

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