A model for level induced conditional heteroskedasticity

DOI10.1016/J.SPL.2018.10.011zbMath1407.62322OpenAlexW2897675147MaRDI QIDQ1726803

Robert M. de Jong, Jon Michel

Publication date: 20 February 2019

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

Full work available at URL: https://doi.org/10.1016/j.spl.2018.10.011

zbMATH Keywords

\(\beta\)-mixingconditional heteroskedasticityGARCHnonlinear time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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