On the Distributional Properties of GARCH Processes
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Publication:2740039
DOI10.1111/1467-9892.00227zbMath0978.62084OpenAlexW1979818263MaRDI QIDQ2740039
Mirosław Pawlak, Wolfgang Schmid
Publication date: 16 September 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00227
lower boundsGARCH modelstatistical process controldistributional propertiesARCH modelnon-linear time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Economic time series analysis (91B84)
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The ARL of modified Shewhart control charts for conditionally heteroskedastic models ⋮ On the Finite Dimensional Laws of Threshold GARCH Processes ⋮ Bounds for the probability distribution function of the linear ACD process ⋮ On the Distribution Estimation of Power Threshold Garch Processes ⋮ Multivariate elliptically contoured autoregressive process
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