The time-varying GARCH-in-mean model

DOI10.1016/j.econlet.2017.06.005zbMath1398.91681OpenAlexW2610452110MaRDI QIDQ1782322

Gustavo Fruet Dias

Publication date: 20 September 2018

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

Full work available at URL: https://pure.au.dk/ws/files/142406888/Dias_2017_The_time_varying_garch_in_mean_model.pdf

zbMATH Keywords

time-varying coefficientsrisk-return tradeoffGARCH-type modelsiterative estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (1)

Appraisal of excess Kurtosis through outlier-modified GARCH-type models

Cites Work

• Asymptotics for parametric GARCH-in-mean models
• Semiparametric inference in a GARCH-in-mean model
• Inference on stochastic time-varying coefficient models
• SOME CONVERGENCE THEORY FOR ITERATIVE ESTIMATION PROCEDURES WITH AN APPLICATION TO SEMIPARAMETRIC ESTIMATION
• An Intertemporal Capital Asset Pricing Model
• Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

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