A multivariate conditional autoregressive range model

DOI10.1016/j.econlet.2004.09.005zbMath1255.62244OpenAlexW2018169576MaRDI QIDQ1927776

Bernardo De Sá Mota, Marcelo Fernandes, Guilherme Rocha

Publication date: 2 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.09.005

zbMATH Keywords

stationarityrangemixing propertyconditional correlation

Mathematics Subject Classification ID

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

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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Long-Term Memory in Stock Market Prices
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Modeling and Forecasting Realized Volatility
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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