Moving average conditional heteroskedastic processes

DOI10.1016/0165-1765(95)00708-NzbMath0875.90209OpenAlexW2086266731MaRDI QIDQ1352226

Ronald Bewley, Minxian Yang

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00708-n

zbMATH Keywords

Time seriesConditional varianceVolatilityC32

Mathematics Subject Classification ID

Economic time series analysis (91B84) Information storage and retrieval of data (68P20)

Related Items

RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS ⋮ Stationarity of a family of GARCH processes ⋮ MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS ⋮ ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES ⋮ Properties of moments of a family of GARCH processes ⋮ Stationarity and the existence of moments of a family of GARCH processes.

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation