Properties of a new family of volatility sign models

DOI10.1016/j.camwa.2006.07.001zbMath1210.91105OpenAlexW2043511803MaRDI QIDQ2458502

S. S. Appadoo, A. Thavaneswaran

Publication date: 1 November 2007

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2006.07.001

zbMATH Keywords

kurtosis and sign RCA modelsSign GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Random coefficient GARCH models
• A nonlinear time series model and estimation of missing observations
• Generalized autoregressive conditional heteroscedasticity
• Strong approximation for RCA(1) time series with applications
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Random coefficient autoregression, regime switching and long memory
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Threshold heteroskedastic models

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