The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean

DOI10.1016/S0167-6687(98)00040-7zbMath1053.62554WikidataQ127909470 ScholiaQ127909470MaRDI QIDQ1293814

Ann De Schepper, Marc J. Goovaerts

Publication date: 16 August 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Conditional varianceTransition probabilityFeynman Kac integralGeneralized autoregressive conditional heteroskedasticity (GARCH)Ito process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line ⋮ Closed-form approximations for diffusion densities: A path integral approach.

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On some exponential functionals of Brownian motion
• An Intertemporal Capital Asset Pricing Model

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